STRESS TESTING ON BANKING RISK EXPOSURE : Current Practice, Modeling & Implementation

STRESS TESTING ON BANKING RISK EXPOSURE: Current Practice, Modeling & Implementation

HARRIS HOTEL TEBET, Jakarta | 24 s/d 25 Februari 2012 | Pk. 08.30 s/d 17.00 | Rp. 4.950.000,-
HARRIS HOTEL TEBET, Jakarta | 16 s/d 17  Maret 2012 | Pk. 08.30 s/d 17.00 | Rp. 4.950.000,-
HARRIS HOTEL TEBET, Jakarta | 20 s/d 21 April  2012 | Pk. 08.30 s/d 17.00 | Rp. 4.950.000,-
HARRIS HOTEL TEBET, Jakarta | 11 s/d 12 Mei 2012 | Pk. 08.30 s/d 17.00 | Rp. 4.950.000,-
HARRIS HOTEL TEBET, Jakarta | 29 s/d 30 Juni 2012 | Pk. 08.30 s/d 17.00 | Rp. 4.950.000,-
HARRIS HOTEL TEBET, Jakarta | 06 s/d 07 Juli 2012 | Pk. 08.30 s/d 17.00 | Rp. 4.950.000,-

Manfaat Bagi Peserta Training :

• Pemahaman mengenai konsep dasar Stress Test pada Bank
• Pemahaman mengenai Metodologi Stress Test pada Market Risk Exposure
• Pemahaman mengenai Metodologi Stress Test pada Liquidity Risk Exposure
• Pemahaman mengenai Metodologi Stress Test pada Credit Risk Exposure
• Pemahaman mengenai Metodologi Stress Test pada Operational Risk Exposure

Peserta yang dapat mengikuti antara lain :

• ALCO Support Functions
• Risk management (Market, Liquidity, Credit & Operational Risk)
• Treasury Analyst
• Credit Analyst
• Financial Control
• Financial Institutions
• Banking Analyst
• Audit

Course Highlight

Day 1

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

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

Excell Spreadsheet Exercise :

• Modeling VaR in Excell Spreadsheet

Modeling the Stress Testing on Market Risk Exposure

• Performing Stress test on Trading Book Exposure
• Stress Test on FX Exposure
• Stress Test on Trading Interest Rate Risk Exposure
• Stress Test on Option Risk Exposure

Excell Spreadsheet Exercise :

• Calculating the Stress Level on Trading Book position

Scenario Simulation on Yield Curve under Stress

• Term structure of Interest rate
• Playing with the Yield Curve versus the Pararelly Shifting
• Stress the interest rate risk position Using DV01 Model

Excell Spreadsheet Exercise :

• Modeling Stress Level on the YC

Day 2

Liquidity Stress Testing

• Liquidity Profile
• Stress Test Scenario :  General Market,
• Stress Test Scenario :  Bank Specific Scenario
• Data Preparation
• Statistic Concept on GMC Scenario & BSC Scenario
• Asset Management Strategy

Excell Spreadsheet Exercise : Modeling Stress Level on GMC and BSC Scenario

Stress Test of Interest Rate Risk on Banking Book (IRRBB)

• Definition & Background
• Duration & Immunization Concept : Macaulay Duration, Modified Duration, 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)

Excell Spreadsheet Exercise :

• Modeling Stress Level with EVE Model
• Modeling Stress Level with NII Simulation
• Modeling Stress Level with PVBP

Stress Test on Credit Risk Exposure

• Expert System
• Design The Scoring-Rating System
• Credit Risk Statistic Distribution
• Probability of Default
• Loss Given Default
• Exposure of Default
• Calculating the Expected & Unexpected Losses
• Performing the Stress Test on Credit Risk Exposure

Excell Spreadsheet Exercise :

• Performing Stress Test with Credit Risk VaR Model

Stress Test on Operational Risk Exposure

• Operational Risk Statistic Distribution
• Probability of Event
• Loss Given Event
• Event’s Exposure
• Calculating the Expected & Unexpected Losses
• Performing the Stress Test on Operational Risk Exposure

Excell Spreadsheet Exercise :

• Performing Stress Test with Operational Risk VaR Model

Speaker :

• Mr. IVAN RUSMAN
• (Practical In Treasury Business )

Tuition Fee  : Rp. 5.900.000,- 

Please Bring Your Laptop During the Workshop

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