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Market Risk Stress Testing & Scenario Analysis

January 27, 2022
Market Risk Stress Testing & Scenario Analysis

Jadwal Pelatihan Market Risk Stress Testing & Scenario Analysis

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BENEFIT

  • 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 metodologi 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

 

MATERI Training Market Risk Stress Testing & Scenario Analysis

1. 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

2. 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

3. Scenario Simulation on Yield Curve under Stress

  • Term Structure of Interest Rate
  • Titling Yield Curve
  • Steepening Yield Curve
  • Flattening Yield Curve

4. 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

5. Modeling The Stress Testing on Market Risk Exposure

  • Trading Book Exposure
  • Stress Test on FX Exposure
  • Stress Test on Trading Interest Rate Risk Exposure

6. 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)

 

TRAINING METHOD

Presentation

Discussion

Case Study

Evaluation

 

FACILITIES

Training Kit

Handout

Certificate

Lunch + 2x Coffee Break

Souvenir

Pick Up Participant

Form Pre-Registrasi

Data Materi Training

Topik Training : Market Risk Stress Testing & Scenario Analysis
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