MARKET RISK STRESS TESTING & SCENARIO ANALYSIS
Hotel Harris Tebet, Jakarta | 9 Juli 2011 | Pkl. 09.00 – 16.30 WIB | Rp 2.500.000,-/Peserta
BENEFIT TO PARTICIPANTS:
- Understanding on Basic Principle on Stress Testing
- Understanding on Methodology used in Stress Testing
- Successfully determine and establish forward-looking stress tests and scenario analyses
- Focus on developing regulatory requirements for stress testing and scenario analysis
- Design and analyse flexible scenarios to effectively mitigate and manage risk
- Understanding the need for effective stress testing of Market risk
- Explore best-practice techniques for the design of a stress testing and scenario analysis framework
- Pemahaman terhadap Prinsip dasar Stress Test
- Pemahaman terhadap Methodologi yang digunakan dalam Stress Testing
- Keberhasilan dalam menentukan dan membuat forward-looking stress tests dan scenario analyses
- Fokus pada membangun stress testing dan scenario analysis sesuai dengan regulatory requirements
- Merancang dan menganalisa scenario yang fleksibel dalam me- mitigasi & mengelola resiko secara efektif
- Pemahaman atas kebutuhan stress testing dari resiko pasar secara efektif
- Menggali lebih dalam best-practice techniques untuk merancang suatu kerangka kerja stress testing dan scenario analysis
TRAINING METHOD :
Pelatihan ini menggunakan metode interaktif, dimana peserta dikenalkan kepada konsep, diberikan contoh aplikasinya, berlatih menggunakan konsep, mendiskusikan proses dan hasil latihan.
Who should attend ?
Risk Analytics Officers, Financial Risk Officers, Financial Analyst, Investment Analyst, Treasury, Internal audit,and Others
COURSE HIGHLIGHTS
Introduction on Stress Testing
- Role of Stress Test
- The ICAAP
- Building Block of Stress Test
- Stress Testing Types
- Sensitivity versus Scenario Analysis
- Analysis on specific Risk Factors
- Learning from the Past
Performing The Stress Test Impact on Capital (Summary)
- Baseline Scenario
- Determined The Risk Exposure
- Choosing the Risk Model
- Determined The Scenarios : Single Factor Shocks
- Determined The Scenarios : Multiple Factor Shocks
Scenario Simulation on Yield Curve under Stress
- Term structure of Interest rate
- Titling Yield Curve
- Steepening Yield Curve
- Flattening Yield Curve
Introduction to Value at Risk Model (related to Stress Test)
- What is VaR Model?
- The background
- Advantages of VaR compare to Traditional Risk Measurement
- Statistic’s Distribution
- Volatility Concept
- Calculating the Standard Deviation and generating the Correlation Matrix
- Holding Period & Confidence Level
- Calculating The individual and Diversified VaR
- Historical VaR & Montecarlo VaR
- Backtesting the VaR Model
Modeling the Stress Testing on Market Risk Exposure
- Trading Book Exposure
- Stress Test on FX Exposure
- Stress Test on Trading Interest Rate Risk Exposure
Stress Test of Interest Rate Risk on Banking Book (IRRBB)
- Definition & Background
- Duration & Immunization Concept
- Macaulay Duration, Modified Duration,
- Immunization Concept : Convexity
- Risk Sensitivity Asset & Risk Sensitivity Liability
- Economic Value of Equity Model
- Stress Test on PV01 or PVBP Modeling
- Stress Test on NII (NII Sensitivity Modeling)
PEMBICARA :
IVAN RUSMAN
JADWAL & LOKASI PELATIHAN :
Jadwal:
- 9 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 1 Juli 2011)
FASILITAS PELATIHAN :
Setiap peserta akan memperoleh ‘Certificate of Accomplishment’, materi hardcopy (makalah) dan konsumsi (makan siang dan 2xmeals).