Credit Risk Analysis and Modeling

Credit Risk Analysis and Modeling

Tanggal
27-28 Maret 2012

Jam Pelaksanaan
8.30 – 17.00 WIB

Tempat
Hotel Ambhara
Jakarta

Pembicara / Fasilitator
Salman Taufik
A finance professional with years experiences since 1990S in the area of treasury and capital market, corporate finance, and risk management. He has been consultant to develop a risk management system in several financial institutions. His background in mathematical modeling will help participants to understand the credit risk models clearly and easier.

Harga
Rp. 4.500,000,- / peserta dan
Rp. 12.500.000 untuk 3 peserta dari perusahaan/institusi yang sama

TENTANG TRAINING
Krisis keuangan global yang bersumber dari risiko kredit mengharuskan institusi keuangan untuk membangun suatu sistem manajemen risiko yang kuat ( ) sebagai bagian yang tidak terpisahkan ( ) dari proses pengambilan keputusan pemberian kredit/investasi dan pengelolaan portofolio kredit/investasi.

Dalam kaitan tersebut, pelatihan 2 hari ini akan membahas hal mendasar dalam manajemen risiko kredit yakni
yang mencerminkan persepsi institusi keuangan terhadap potensi risiko kredit ( ), dan analisa risiko kredit/investasi secara individu serta pengelolaan portofolio risiko kredit berkaitan dengan yakni kecukupan modal untuk mendukung pertumbuhan.

Peserta akan mempraktekkan bagaimana membuat menggunakan model-model kuantitatif analisa logit/probit yang dilakukan oleh Moody’s, discriminant analysis olehAltman Z-Score, maupun neural network oleh S&P.

Lebih lanjut, peserta akan melakukan secara lebih dinamis dengan simulasi berbagai skenario ( ) menggunakan aplikasi @RISK 5.5 yang dijalankan dalam sehingga memberikan hasil analisa kredit yang lebih luas. Selain itu, simulasi juga akan dilakukan terhadap pengelolaan portfolio kredit/investasi untuk optimalisasi maupun dalam penggunaan modal.

Fokus training ini yang sangat mendasar perlu diikuti oleh bukan hanya oleh risk manager/officers, credit analyst, atau financial controller, tetapi juga oleh unit bisnis yang terkait langsung dengan risiko kredit seperti credit officers.

TUJUAN TRAINING
Mengembangkan manajemen risiko kredit sesuai dengan prinsip Basel II untuk mencapai tujuan profitabilitas dan pertumbuhan perusahaan secara efisien dan efektif, melalui modeling dan simulasi.

Meningkatkan kemampuan analisa risiko kredit secara dinamis dan lebih luas, baik secara individu maupun portfolio, melalui penggunaan software simulasi @RISK 5.5. yang dijalankan dengan program spreadsheet excel.

COURSE BENEFITS:

1. Getting comprehensive understanding of credit risk management practices, from developing internal rating to measuring Value at Risk for stand alone as well as credit portfolio.
2. Improving the computer literacy in Excel and @Risk to run and solve statistical model of risk parameters.
3. Getting rating and credit analysis templates as well as valuable e-books for dailyworks.
4. Applying credit risk model which suitable with business characteristic.
5. Getting solution and advices from the experts for real problems.

DAY  1 :

• Course Overview
• Review Credit Analysis
  • Review credit analysis process
  • Financial analysis
    • Balance-sheet and Financial statement analysis
    • Ratio Analysis
    • Cash flow analysis
  • Credit rating of public debt
    Exercise:
    
    • Simulating the financial analysis to see the distribution of company’s performance under input scenarios
    • Using stochastic optimization and models to evaluate credit risk of corporate restructuring
• Constructing Internal Credit Rating System
  • Classifying company using neural network approach (as in S&P)
    Exercising Neural Network application for rating categories
  • Estimating probability of default (PD) using historical data
    Exercising cohort and hazard analysis to construct transition matrix
  • Estimating PDusing statistical approach
    • Discrimant Analysis in Altman Model
    • Logit and Probit model (Moody’s)
  • MappingPDinto rating categories.
  • Estimating PD using structural approach (merton model)
    Exercise:
    • Using internal credit rating for credit screening
    • Predicting distress using simulation for credit analysis.

DAY  2 :

• Validating aRating System
  • Validating a rating system
    • Discrimination and calibration using CAP
      (Cumulative Accuracy Profile) and AR (Accuracy Ratio)
    • Another analytical tool ROC (Receiver Operating Characteristic)
    • Bootstrapping confidential intervals for theAR
    • Interpreting CAPS andROCS
    • BRIERSCOREthe overall test
    • Testing the calibration of rating-specific default probabilities
    • Validation strategy
  • Validating credit portfolio model
    • Berkowitz test
  • Basel II and internal rating
    • Assessing a given grading structure
    • Towards optimal grading structure
• Portfolio of Credit Risk
  • Understanding Default Correlation in credit portfolio
  • Calculating the capital requirement in IRB
  • Measuring risk using VAR (Value At Risk) in credit portfolio
    • VAR method: Var-Covar, Historical Simulation,Montecarlo
    • Undiversified vs Diversified VAR
  • Risk Budgeting: Value at Risk with asset allocation optimization model
  • Stest testing capital adequacy using simulation

WHO SHOULD ATTEND?

• Bank credit officers
• Risk Management officers
• Investment bankers
• Fund managers
• Compliance officers
• Audit
• Financial decision makers
• Regulators