ASSET LIABILITY MANAGEMENT Interest Rate Risk Banking Book

ASSET LIABILITY MANAGEMENT (ALMA) Interest Rate Risk Banking Book

Jakarta | 25 s/d 26 Mei 2012 | Rp. 4.950.000,-
Bandung | 29 s/d 30 Juni 2012 | Rp. 4.950.000,-
Jakarta | 20 s/d 21 Juli 2012 | Rp. 4.950.000,-

Manfaat untuk Peserta :

• Pemahaman menyeluruh terhadap filosofi Resiko Suku Bunga di Neraca Perusahaan baik Bank maupun Non Bank
• Pemahaman yang jelas mengenai kerangka Kerja Resiko Suku Bunga
• Pemahaman yang cepat dalam membuat model resiko Suku Bunga
• Kemampuan dalam mengantisipasi repricing gap terhadap perubahan suku bunga kedepannya
• Kemampuan dalam Melakukan simulasi resiko dan pendapatan di investment book,
• Dilengkapi dengan excell spreadsheet dalam CD

Who Should Attend
ALCO, Treasury Manager, Financial Controller, Accounting & Tax Manager, Business Manager, Risk Manager, Operation Manager, Audit & Control.

1. Introduction to Structural Interest Rate Risk Management :

• Why is important, Basle II & Regulatory Approach, SIRR Definition, Risk Management Criteria, Managing of Residual Risk, SIRR Organization and Segregation on Trading & Investment Book.

2. Understanding The Yield Curve:

• Definition, Type of Yield Curve, Bootstrapping Method and Calculating Discount Factor.

3. Interest Rate Risk Measurement :

• Maculay Duration Modified Duration, Economic Value of Equity, Present Value of 1 Bp and NII Simulation.

4. Interpolation/extrapolation Techniques :

• The Need of Interpolation & Extrapolation, Linier Interpolation and Extrapolation

5. Managing the Fixed Rate Loan Asset

• Definition, Consumer Loan Portfolio and Design the Spreadsheet calculation.

6. Managing the Fixed Income Product

• Price Calculation on Fixed Income, Price Calculation on Zero Coupon , Relationship on Coupon Rate, Current Yield & Yield To Maturity , Present Value of Basis Point, Duration Sensitivity Analysis , PV01 Simulation, Fixed Income Stress Test And Convexity

7. IRR Spreadsheet Modeling :

• On Balance Sheet Assumptions, Off Balance Sheet Assumptions, Assumption for Abnormal Cases, Bucket Tenor Determination, Interpolation / extrapolation, PV01 Modeling, NII sensitivity Modeling And IRR Reporting

8. IRR Stress Testing Scenario :

• Scenario on Steepening Yield Curve, Scenario on Flattening Yield curve and Pararelly Shifted Scenario

Audiance :

Treasury Manager, Financial Controller, Accounting &  Tax Manager, Business Manager, Risk Manager, Operation Manager, Audit & Control.

Bonus : Fund Transfer Pricing Related

Trainer:

Team Praktisi Perbankan

Tuition Fee :

• Rp. 4.950.000,-

 

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