Informasi Seminar

MARKET RISK MANAGEMENT Framework in Order to Support Treasury Business

MARKET RISK MANAGEMENT

Framework in Order to Support Treasury Business

MENARA PENINSULA/ HARRIS TEBET / THE AKMANI | 24-25 Febrauri 2012 | Rp. 4.950.000,-/ Person
MENARA PENINSULA/ HARRIS TEBET / THE AKMANI | 20-21 April 2012 | Rp. 4.950.000,-/ Person
MENARA PENINSULA/ HARRIS TEBET / THE AKMANI | 29-30 Juni 2012 | Rp. 4.950.000,-/ Person
MENARA PENINSULA/ HARRIS TEBET / THE AKMANI | 06-07  Juli 2012 | Rp. 4.950.000,-/ Person

 

BENEFIT PROGRAM
Memberi arahan yang jelas terhadap kerangka kerja Resiko Pasar dan  Memberikan langkah–langkah bagaimana pembuatan Proposal Limit oleh Treasury, bagaimana manajemen resiko melakukan pengkajian dan memberikan proper rekomendasi,  dan juga mengetahui bagaimana cara melakukan eskalasi limit saat limit terlampaui dan penambahan / perpanjangan limit, serta  Pemahaman menyeluruh terhadap bisnis Treasury, meliputi kajian terhadap produk yang kompleks dan bagaimana cara pendistribusian limit dan cara mengelola diantara desk-desk di Treasury. Dari training ini juga Peserta mampu melakukan pengkajian secara singkat mengenai pada area kritis di resiko pasar, bagaimana melakukan analisa pada resiko pasar yang terkandung dalam produk-produk Treasury yang kompleks ( seperti : FX Derivatives, Fixed Income, Option, Swap, Cross Currency Swap, Interest Rate Swap, Cap/Floor/Collar ), Memberi pemahaman bagaimana untuk melakukan pemisahan antara Buku Trading dan Banking Book (Tnvestment Book), Serta Memberikan arahan dalam melakukan pembuatan model Resoko Suku Bunga dalam Banking Book dan Memberikan arahan dalam pembuatan Profil Resiko Pasar, serta Pemahaman terhadap dan criteria lindung nilai

Penting dan wajib di ikuti:

Para staf di Treasury, Market Risk / Risk Mgmt, Internal Audit, ALM management dan  Accounting

OUTLINE  :

  1. MARKET RISK MANAGEMENT & MARKET RISK LIMIT FRAMEWORK
    • Definition & Background
    • Role on Market Risk
    • Market Risk Organization
    • Clear Segregation between Trading and Investment          ( Banking Book ) Book
    • Market Risk on Supporting The Treasury Business
    • Market Risk Factors
    • Market Risk Limit Type
    • Limit Escalation & Extension Framework
    • Introduction on Treasury Control Unit (Middle Office Function)
    • Hedge Accounting
  2. INTRODUCTION ON TREASURY BUSINESS
    • Treasury’s Role, Strategy & Organization
    • Overview on Market Risk on Treasury Product (Common Product & Derivatives)
  3. SIMULATION ON PERFORMING THE TREASURY PORTFOLIO TRADING LIMIT
    • Risk vs Return Trade Off
    • The Risk Appetite
    • Alert versus Limit
    • Treasury’s Proposal
    • Assessment from Market Risk
    • Case Study 1 : Simulation on Performing The Trading Limit on Excell Spreadsheet
    • Case Study 2 : Simulation on Performing The Banking Book Alert Triggers & Guidelines
  4. HOW TO MANAGE THE INTEREST RATE RISK ON BANKING BOOK
    • IRR Spreadsheet Modeling
    • Building the Assumptions
    • Bucket Tenor Determination
    • Interpolation / Extrapolation
    • PV01 Modeling
    • NII sensitivity Modeling
    • IRR Reporting
  5. HOW TO PERFORM THE MARKET RISK STRESS TEST
    • Static Stress Test : Stress on Yield Curve
    • Dynamic Stress : Using VaR methodology
    • Interpretation the Stress Result
  6. EXCELL SPREAD SHEETS INCLUDES
    • IRR Spreadsheet Modeling (NII sensitivity Modeling
    • PV01 Method Calculation
    • Duration & Convexity Method Calculation
    • Value at Risk (VaR) Model
    • Greeks & Fair Value Calculation
    • Garman Kohlagen Model
    • Black Scholes Model
    • Stress Test Form – FSAP – Guidance
    • Others

Speakers :

Mr. IVAN P. RUSMAN E.

( Practicioner Treasury And Risk Management Perbankan )

Tempat (JAKARTA)

  • MENARA PENINSULA HOTEL
  • HARRIS TEBET HOTEL
  • THE AKMANI  HOTEL

Note :  Tuition Fee Not Including Accommodation *

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