Pelatihan Implementation of Credit Risk and Stress Model Test

Pelatihan Implementation of Credit Risk and Stress Model Test

 

 Deskripsi Pelatihan 

Dalam Pelatihan ini peserta akan diberikan pemahaman secara komprehensif terkait 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, dll.

Materi Pelatihan 

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

Introduction to Value at Risk Model (related to Stress Test)

  •  Concept of 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

Excell Spreadsheet Exercise :

  •  Modeling VaR in Excell Spreadsheet
  • Modeling the Stress Testing on Market Risk Exposure
  •  Performing Stress test on Trading Book Exposure
  •  Stress Test on FX Exposure
  •  Stress Test on Trading Interest Rate Risk Exposure
  •  Stress Test on Option Risk Exposure

Excell Spreadsheet Exercise :

  •  Calculating the Stress Level on Trading Book position

Scenario Simulation on Yield Curve under Stress

  •  Term structure of Interest rate
  •  Playing with the Yield Curve versus the Pararelly Shifting
  •  Stress the interest rate risk position Using DV01 Model

Excell Spreadsheet Exercise :

  •  Modeling Stress Level on the YC

Liquidity Stress Testing

  •  Liquidity Profile
  •  Stress Test Scenario :  General Market,
  •  Stress Test Scenario :  Bank Specific Scenario
  •  Data Preparation
  •  Statistic Concept on GMC Scenario & BSC Scenario
  •  Asset Management Strategy

Excell Spreadsheet Exercise : Modeling Stress Level on GMC and BSC Scenario

  • Stress Test of Interest Rate Risk on Banking Book (IRRBB)
  •  Definition & Background
  •  Duration & Immunization Concept : Macaulay Duration, Modified Duration, 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)

Excell Spreadsheet Exercise :

  •  Modeling Stress Level with EVE Model
  •  Modeling Stress Level with NII Simulation
  •  Modeling Stress Level with PVBP

Stress Test on Credit Risk Exposure

  •  Expert System
  •  Design The Scoring-Rating System
  •  Credit Risk Statistic Distribution
  •  Probability of Default
  •  Loss Given Default
  •  Exposure of Default
  •  Calculating the Expected & Unexpected Losses
  •  Performing the Stress Test on Credit Risk Exposure

Excell Spreadsheet Exercise :

  •  Performing Stress Test with Credit Risk VaR Model

Stress Test on Operational Risk Exposure

  •  Operational Risk Statistic Distribution
  •  Probability of Event
  •  Loss Given Event
  •  Event’s Exposure
  •  Calculating the Expected & Unexpected Losses
  •  Performing the Stress Test on Operational Risk Exposure

Excell Spreadsheet Exercise :

  •  Performing Stress Test with Operational Risk VaR Model

Tujuan dan Manfaat Pelatihan

Setelah mengikuti program ini peserta diharapkan mampu :

  • Mengetahui dan memahami konsep dasar Stress Test pada Bank
  • Mengetahui dan memahami Metodologi Stress Test pada Market Risk Exposure
  • Mengetahui dan memahami Metodologi Stress Test pada Liquidity Risk Exposure
  • Mengetahui dan memahami Metodologi Stress Test pada Credit Risk Exposure
  • Mengetahui dan memahami

 

Jadwal dan Tempat Pelatihan

Bulan Minggu I 

Bandung

 Minggu II 

Jakarta

 Minggu III 

Bandung

 MInggu IV

Yogyakarta
Januari 6-8 13-15 20-22 27-29
Februari 3-5 10-12 17-19 24-26
Maret 3-5 10-12 17-19 24-26
April 7-9 14-16 21-23 28-30
Mei 5-7 13-15 19-21 26-28
Juni 2-4 9-11 16-18 23-25
Juli 7-9 14-16 21-23 28-30
Agustus 4-6 11-13 18-20 25-27
September 1-3 8-10 15-17 22-24
Oktober 6-8 13-15 20-22 27-29
November 3-5 10-12 17-19 24-26
Desember 1-3 8-10 15-17 22-24

 

Harga Pelatihan

Offline

  • Public Training mulai dari 5.000.000 – 7.000.000 per orang
  • Inhouse Training mulai dari 850.000 per orang

Online

  • Public Training mulai dari 1.200.000 per orang
  • Inhouse Training mulai dari 600.000 per orang

 

Fasilitas Pelatihan

  • Sertifikat Pelatihan
  • Expert Trainer
  • Coffee Break 2x per hari
  • Lunch 1x per hari
  • Room meeting hotel minimal bintang tiga
  • Materi pelatihan dalam bentuk hard copy dan juga soft copy
  • ATK
  • Backpack exclusive
  • Jaket eksklusif (souvenir)
  • Dokumentasi
  • Laporan Pelatihan
  • Pre and Post Test

 

Baca juga : Best Practice For Financial Planning

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