Stress Testing & Scenario Analysis

[S017-019-1102]

WAKTU
25 s/d 26 Maret 2011

TEMPAT

HOTEL MENARA PENINSULA/ HOTEL HARRIS TEBET

INVESTASI

Rp. 4.750.000,-

INSTRUKTUR

Professional Trainers

DESKRIPSI

MATERI PEMBAHASAN

– 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
– SCENARIO SIMULATION ON YIELD CURVE UNDER STRESS
Term Structure of Interest Rate, Playing with the Yield Curve versus the Pararelly Shifting, Titling Yield Curve, Flattening Yield Curve, Stress the Interest Rate Risk Position Using PV01 Model
– 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
– LIQUIDITY RISK STRESS TEST
Liquidity Profile, Behavioral Assumptions, Stress Test Scenario : General Market, Stress Test Scenario : Bank Specific Scenario, Data Preparation, Statistic Concept on GMC Scenario & BSC Scenario, Asset Management Strategy
– 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)
– PERFORMING THE STRESS TEST IMPACT ON CAPITAL (SUMMARY)
Baseline Scenario, Determined The Risk Exposure, Choosing the Risk Model, Model Calibration, Determined
Etc.

INFORMASI PENDAFTARAN

– Silahkan isi form dibawah ini jika anda ingin mendaftar :

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