MARKET RISK STRESS TESTING & SCENARIO ANALYSIS

MARKET RISK STRESS TESTING & SCENARIO ANALYSIS

JADWAL & LOKASI PELATIHAN :
Jadwal: 9 Juli 2011, Pkl. 09.00 – 16.30 WIB
Lokasi: Hotel Harris Tebet, Jakarta

BENEFIT TO PARTICIPANTS:

1. Understanding on Basic Principle on Stress Testing
2. Understanding on Methodology used in Stress Testing
3. Successfully determine and establish forward-looking stress tests and scenario analyses
4. Focus on developing regulatory requirements for stress testing and scenario analysis
5. Design and analyse flexible scenarios to effectively mitigate and manage risk
6. Understanding the need for effective stress testing of Market risk
7. Explore best-practice techniques for the design of a stress testing and scenario analysis framework . Pemahaman terhadap Prinsip dasar Stress Test
8. Pemahaman terhadap Methodologi yang digunakan dalam Stress Testing
9. Keberhasilan dalam menentukan dan membuat forward-looking stress tests dan scenario analyses
10. Fokus pada membangun stress testing dan scenario analysis sesuai dengan regulatory requirements
11. Merancang dan menganalisa scenario yang fleksibel dalam me- mitigasi & mengelola resiko secara efektif
12. Pemahaman atas kebutuhan stress testing dari resiko pasar secara efektif
13. 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)

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’ dari Lembaga Pelatihan, Gandaan Materi baik hardcopy (makalah) maupun softcopy (CD Materi), dan konsumsi (makan siang dan 2xmeals).

Instruktur:
IVAN RUSMAN