MARKET RISK STRESS TESTING & SCENARIO ANALYSIS

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).