LIQUIDITY RISK MANAGEMENT & STRESS TEST

LIQUIDITY RISK MANAGEMENT & STRESS TEST
“Designing Liquidity Risk Cash Flow Maturity Profile, Modeling The Stress Test & Performing The Contingency Funding Plan”
Hotel Harris Tebet, Jakarta | 23 Juli 2011 | Pkl. 09.00 – 16.30 WIB | Rp 2.500.000,00/Peserta (full fare)

Key Benefit :

• Provide clear understanding on Liquidity Risk Framework due to Basle II & Local Central Bank’s requirement
• Provide Skills & knowledge on how to perform the Liquidity Maturity Profile under Contractual Basis
• Provide Skills & knowledge on how to perform the Liquidity Maturity Profile under Behavioral Basis
• Provide Skill & Knowledge on how to set the MCO limit
• Provide Skills & knowledge on how to perform the Bank Specific Crisis Stress Test Scenario & assumptions
• Provide Skills & knowledge on how to perform the General Market Crisis Stress Test Scenario & assumptions
• Provide clear understanding on Contingency Funding Plan concept
• Provide capacity to perform the Liquidity Risk Management Policy .

TRAINING METHOD :
Pelatihan ini menggunakan metode interaktif, dimana peserta dikenalkan kepada konsep, diberikan contoh aplikasinya, berlatih menggunakan konsep, mendiskusikan proses dan hasil latihan.

Module
Overview on Liquidity Risk Management

• Milestone on Liquidity Risk Management
• Market Liquidity versus Funding Liquidity Risk
• Lesson learnt from Financial Crisis 2007-2009
• Liquidity Risk Ratio – Static Approach :

1. Loan to Deposit Ratio
2. Secondary Reserve Ratio
3. Concentration Ratio
4. Non Bank Deposit Ratio
5. Net Interbank Ratio
6. Swap Funding Ratio
7. Medium Term Funding Ratio
8. Undrawn Facility Ratio

Performing The Liquidity Gap Management

• Performing Liquidity Gap under Contractual Basis
• Performing Liquidity Gap under Behavioral Basis
• Main Issue : “How to deal with Items with no predefined maturity or cashflow”
• Statistic Analysis Tools to accommodate the Behavioral assumptions Stress Testing
• The Role of Stress Testing
• Stress test Root Cause
• The Building Block of Stress Testing
• Modeling the Stress Test
• The Role of Thumb of Liquidity Stress Test

Liquidity Stress Test Modeling

• Stress Test Scenarios :

1. General Market Scenario
2. Bank Specific Scenario

• Data Preparation

1. Time Deposit
2. Saving Account
3. Demand Deposit

• Data Source

1. Industry
2. Internal

• Applied Statistic for Liquidity Risk
• Statistic Concept on Liquidity Crisis

How to Perform The Liquidity Gap Limit ?

• Main Factors Consideration
• The MCO Profile
• MCO Limit – The Strategic Decision

Contingency Funding Plan

• The Objectives
• Identifying & Recognizing a Liquidity Crisis
• Early Warning Indicator
• Crisis Management Structure
• Management Action Strategies

PEMBICARA :

IVAN RUSMAN

JADWAL & LOKASI PELATIHAN :

Jadwal:

• 23 Juli 2011, Pkl. 09.00 – 16.30 WIB

Lokasi:

Hotel Harris Tebet, Jakarta

Investasi:

• Rp 2.500.000,-/Peserta
• Rp 2.250.000,-/Peserta (Early Bird untuk pembayaran sebelum 16 Juli 2011)

FASILITAS PELATIHAN :

Setiap peserta akan memperoleh ‘Certificate of Accomplishment’ , Gandaan Materi baik hardcopy (makalah) maupun softcopy (CD Materi), dan konsumsi (makan siang dan 2xmeals).

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