STRESS TESTING ON BANKING RISK EXPOSURE: Current Practice, Modeling & Implementation

Berikut ini adalah Pusat Informasi Jadwal Training / Seminar / Pelatihan STRESS TESTING ON BANKING RISK EXPOSURE: Current Practice, Modeling & Implementation yang akan di selenggarakan oleh Semangatindo Training & Consulting, untuk mendapatkan informasi training lengkap serta mendaftarkan diri anda mengikuti training STRESS TESTING ON BANKING RISK EXPOSURE: Current Practice, Modeling & Implementation yang akan kami selenggarakan, anda dapat menghubungi Tim Marketing via telepon atau sms di nomor 081226562746 – 087838196280 (WA), atau  mengirim surel di email kami marketing@semangatindo.com / trainingsemangatindo@gmail.com, anda dapat pula mengisi form request training / formulir pra registrasi yang tersedia pada situs kami.

Kami menyelenggarakan Public Training ataupun in House Training tentang STRESS TESTING ON BANKING RISK EXPOSURE: Current Practice, Modeling & Implementation di berbagai kota besar di Indonesia yaitu Yogyakarta, Bandung, Jakarta, Tangerang, Bogor, Bali, Surabaya, Medan, Palembang, Riau, Padang, Lombok, Kupang, Balikpapan, Samarinda, Makasar, Malang, Batam, Semarang, serta kota-kota besar lainnya di Indonesia

Penyelenggaraan Training / Pelatihan STRESS TESTING ON BANKING RISK EXPOSURE: Current Practice, Modeling & Implementation kami agendakan setiap bulan ( Januari / Februari / Maret / April / Mei / Juni / Juli / Agustus / September / Oktober / November / Desember ) dimana waktu pelaksanaan training dapat pula disesuaikan dengan kebutuhan anda.

Manfaat Bagi Peserta Training :

  • Pemahaman mengenai konsep dasar Stress Test pada Bank
  • Pemahaman mengenai Metodologi Stress Test pada Market Risk Exposure
  • Pemahaman mengenai Metodologi Stress Test pada Liquidity Risk Exposure
  • Pemahaman mengenai Metodologi Stress Test pada Credit Risk Exposure
  • Pemahaman mengenai Metodologi Stress Test pada Operational Risk Exposure

Peserta yang dapat mengikuti antara lain :

  • ALCO Support Functions
  • Risk management (Market, Liquidity, Credit & Operational Risk)
  • Treasury Analyst
  • Credit Analyst
  • Financial Control
  • Financial Institutions
  • Banking Analyst
  • Audit

Course Highlight

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)

  • 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

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

Semangatindo Training & Consulting bekerjasama dengan trainer professional akan memberikan pemahaman secara komprehensif mengenai training tersebut.

Apabila Training/Pelatihan Ini Sesuai Dengan Kebutuhan Perusahaan anda, Silahkan Menghubungi Tim Marketing Kami Untuk Mendapatkan Surat Penawaran, Silabus Training, CV Instruktur dengan mengisi Form Request Training / Formulir Pra Registrasi Via Online  atau melalui Telp, Email, SMS, WA, BBM

Demikian kami sampaikan, atas perhatiannya, kami ucapkan terima kasih.

Salam Hangat

TIM MARKETING

  • Kantor       : Jalan A.M. Sangaji No. 59 Kota Yogyakarta 55233
  • Telpon       : 0274 – 2921-872
  • Mobile       : 0812-2656-2746 / 0878-3819-6280 (wa)
  • Pin BB        : 57282CB1
  • Email          : trainingsemangatindo@gmail.com / marketing@semangatindo.com
  • Website     : semangatindo.com – pusatjadwaltraining.com – infojadwaltraining.com

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