Informasi Seminar
By October 30, 20120 Comments Read More →

Liquidity Risk Management And Interest Rate Risk

Enhancing Liquidity Risk Management And Interest Rate Risk under Basel II & III Framework
Bali  | 5 – 7 NOVEMBER 2012 | Rp.7.550.000,- / Person 
Jakarta | 14-15 DESEMBER 2012 | Rp.6.600.000,- / Person 

 

 

Benefit to Participants

  • Understanding The Key Principle in Asset Liability Management
  • Understanding on ALM Organization
  • Understanding the ALM Risk Type
  • Understanding on ALM Measurements
  • Understanding the Segregation on Trading and Banking Book
  • Understanding How to Set Up the Management Alert Triggers to mitigate the ALM Risk
  • Understanding on dealing with Interest Rate Risk
  • Understanding on How to manage liquidity Risk

Manfaat Bagi Peserta

  • Pemahaman mengenai Prinsip Kunci dari Asset Liability Management
  • Pemahaman mengenai Organisasi ALM
  • Pemahaman terhadap resiko ALM
  • Pemahaman terhadap pengukuran ALM
  • Pemahaman terhadap pemisahan antara trading dan banking Book
  • Pemahaman terhadap Bagaimana menetapkan Alert Trigger manajemen untuk memitigasi resiko
  • Pemahaman dalam menangani Resiko Tingkat suku bunga
  • Pemahaman bagaimana menangani serta mengelola  Resiko Likuiditas

TUJUAN PELATIHAN

  • Mampu memahami pentingnya visi & misi dan dapat merumuskan visi & misi yang akan dijalankan oleh kelompok atau unitnya.
  • Mampu menetapkan goals kelompoknya dengan tepat.
  • Mampu menyusun perfomance plan.
  • Memahami dan terampil memotivasi orang lain.
  • Mengenal type dan sifat-sifat diri sendiri dan orang lain, sehingga lebih mudah menggerakan dan mempengaruhi orang lain.
  • Memperoleh keterampilan dan pengetahuan tentang komunikasi empatik dan efektif.
  • Mampu mengaplikasikan keterampilan pendelegasian, mengatur waktu dan memecahkan masalah.

This Workshop is suitable for participants who in charge in :

  • ALCO Support Functions
  • Asset Liability Management
  • Risk management
  • Treasury
  • Financial Control
  • Corporate Planning
  • Financial Institutions
  • Banking Analyst
  • Audit

 

 MODULE 

Day 1

Overview on ALM

  • What is ALM ?
  • Guideline on Banking & Trading Book
  • The” ALM Triangle”

Yield Curve modeling

  • Term structure of Interest rate
  • What is the yield curve used for?

Introduction to Interest Rate Risk Management

IRR Methodology

  • Fixed Income Math Concept:
    • Macaulay Duration
    • Modified Duration
    • Convexity
  • Risk Sensitivity Asset & Risk Sensitivity Liability
  • Non Interest Bearing Asset versus Non Interest Bearing Liabilities
  • PV01 or PVBP Modeling
  • NII Sensitivity Modeling
  • Repricing Gap Assumptions
  • Repricing Gap Profile

Day 2

Overview on Liquidity Risk Management  (BASEL II)

  • Milestone on Liquidity Risk Management?
    • Market Liquidity versus Funding Liquidity Risk
  • Liquidity Early Warning Indicators
    • 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

How to determine Core Balance

  • Volatility Approach
  • Minimum Balance Methodology

Performing The Liquidity Gap Management

  • Performing Liquidity Gap under Contractual Basis
  • Performing Liquidity Gap under Behavioral Basis
  • Performing the Behavioral assumptions.
  • How to Perform The Liquidity Gap Limit :
    • Based on Business  As Usual
    • Based on Name Crisis

Liquidity Stress Testing

  • Stress Test Scenario :
    • General Market
    • “NAME CRISIS” / Bank Specific Scenario
  • Data Preparation
  • Asset Management & Contingency Funding Strategy

BASEL III – Framework

  • Net Stable Funding
  • Liquidity Coverage Ratio

Manfaat Bagi Peserta

  • Pemahaman mengenai Prinsip Kunci dari Asset Liability Management
  • Pemahaman mengenai Organisasi ALM
  • Pemahaman terhadap resiko ALM
  • Pemahaman terhadap pengukuran ALM
  • Pemahaman terhadap pemisahan antara trading dan banking Book
  • Pemahaman terhadap Bagaimana menetapkan Alert Trigger manajemen untuk memitigasi resiko
  • Pemahaman dalam menangani Resiko Tingkat suku bunga
  • Pemahaman bagaimana menangani serta mengelola  Resiko Likuiditas

Day I

Overview on ALM

  • What is ALM ?
  • Guideline on Banking & Trading Book
  • The” ALM Triangle”

Yield Curve modeling

  • Term structure of Interest rate
  • What is the yield curve used for?

Introduction to Interest Rate Risk Management

IRR Methodology

  • Fixed Income Math Concept:
    • Macaulay Duration
    • Modified Duration
    • Convexity
  • Risk Sensitivity Asset & Risk Sensitivity Liability
  • Non Interest Bearing Asset versus Non Interest Bearing Liabilities
  • PV01 or PVBP Modeling
  • NII Sensitivity Modeling
  • Repricing Gap Assumptions
  • Repricing Gap Profile

Day 2

Overview on Liquidity Risk Management  (BASEL II)

  • Milestone on Liquidity Risk Management?
    • Market Liquidity versus Funding Liquidity Risk
    • Liquidity Early Warning Indicators
      • 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

How to determine Core Balance

  • Volatility Approach
  • Minimum Balance Methodology

Performing The Liquidity Gap Management

  • Performing Liquidity Gap under Contractual Basis
  • Performing Liquidity Gap under Behavioral Basis
  • Performing the Behavioral assumptions.
  • How to Perform The Liquidity Gap Limit :
    • Based on Business  As Usual
    • Ø Based on Name Crisis

Liquidity Stress Testing

  • Stress Test Scenario :
    • General Market
    • “NAME CRISIS” / Bank Specific Scenario
  • Data Preparation
  • Asset Management & Contingency Funding Strategy

BASEL III – Framework

  • Net Stable Funding
  • Liquidity Coverage Ratio

 

 

 

Post a Comment