Liquidity Risk Management & Stress Test

Liquidity Risk Management & Stress Test
“Designing Liquidity Risk Cash Flow Maturity Profile, Modeling The Stress Test & Performing The Contingency Funding Plan”

Tanggal
Jadwal: 23 Juli 2011

Pukul
09.00 – 16.30 WIB

Tempat
Hotel Harris Tebet, Jakarta

Key Benefit :

1. Provide clear understanding on Liquidity Risk Framework due to Basle II & Local Central Bank’s requirement
2. Provide Skills & knowledge on how to perform the Liquidity Maturity Profile under Contractual Basis
3. Provide Skills & knowledge on how to perform the Liquidity Maturity Profile under Behavioral Basis
4. Provide Skill & Knowledge on how to set the MCO limit
5. Provide Skills & knowledge on how to perform the Bank Specific Crisis Stress Test Scenario & assumptions
6. Provide Skills & knowledge on how to perform the General Market Crisis Stress Test Scenario & assumptions
7. Provide clear understanding on Contingency Funding Plan concept
8. Provide capacity to perform the Liquidity Risk Management Policy .

TRAINING METHOD :
Pelatihan ini menggunakan metode interaktif, dimana peserta dikenalkan kepada konsep, diberikan contoh aplikasinya, berlatih menggunakan konsep, mendiskusikan proses dan hasil latihan.

Module

1. Overview on Liquidity Risk Management
   
   • Milestone on Liquidity Risk Management
   • Market Liquidity versus Funding Liquidity Risk
   • Lesson learnt from Financial Crisis 2007-2009
   • Liquidity Risk Ratio – Static Approach :
     • Loan to Deposit Ratio
     • Secondary Reserve Ratio
     • Concentration Ratio
     • Non Bank Deposit Ratio
     • Net Interbank Ratio
     • Swap Funding Ratio
     • Medium Term Funding Ratio
     • Undrawn Facility Ratio
2. Performing The Liquidity Gap Management
   • Performing Liquidity Gap under Contractual Basis
   • Performing Liquidity Gap under Behavioral Basis
   • Main Issue : “How to deal with Items with no predefined maturity or cashflow”
   • Statistic Analysis Tools to accommodate the Behavioral assumptions Stress Testing
   • The Role of Stress Testing
   • Stress test Root Cause
   • The Building Block of Stress Testing
   • Modeling the Stress Test
   • The Role of Thumb of Liquidity Stress Test
3. Liquidity Stress Test Modeling
   • Stress Test Scenarios :
     • General Market Scenario
     • Bank Specific Scenario
   • Data Preparation
     • Time Deposit
     • Saving Account
     • Demand Deposit
   • Data Source
     • Industry
     • Internal
   • Applied Statistic for Liquidity Risk
   • Statistic Concept on Liquidity Crisis
4. How to Perform The Liquidity Gap Limit ?
   • Main Factors Consideration
   • The MCO Profile
   • MCO Limit – The Strategic Decision
5. Contingency Funding Plan
   • The Objectives
   • Identifying & Recognizing a Liquidity Crisis
   • Early Warning Indicator
   • Crisis Management Structure
   • Management Action Strategies

Investasi:
Rp 2.500.000,-/Peserta
Rp 2.250.000,-/Peserta (Early Bird untuk pembayaran sebelum 16 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