Informasi Seminar

MARKET RISK STRESS TESTING & SCENARIO ANALYSIS

MARKET RISK STRESS TESTING & SCENARIO ANALYSIS
Hotel Harris Tebet, Jakarta | 9 Juli 2011 | Pkl. 09.00 – 16.30 WIB | Rp 2.500.000,-/Peserta

BENEFIT TO PARTICIPANTS:

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

 

PEMBICARA :

IVAN RUSMAN

 

JADWAL & LOKASI PELATIHAN :

Jadwal:

  • 9 Juli 2011, Pkl. 09.00 – 16.30 WIB

 

Lokasi:

Hotel Harris Tebet, Jakarta

 

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’, materi hardcopy (makalah) dan konsumsi (makan siang dan 2xmeals).


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