TRAINING STRESS TESTING ON BANKING RISK EXPOSURE : CURRENT PRACTICE, MODELING & IMPLEMENTATION
DESKRIPSI
Uji tekanan membantu bank memahami bagaimana portofolio mereka akan bertahan dalam kondisi ekstrem. Training testing on banking risk exposure ini memberikan keterampilan untuk merancang dan menerapkan uji stres yang komprehensif, yang penting untuk mengelola risiko secara proaktif dan memastikan stabilitas keuangan.
Training ini membahas mengenai Uji tekanan risiko tidak tuntas jika dipelajari dalam hitungan jam, diperlukan waktu tersendiri dan bimbingan yang profesional.
MATERI
Day 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
- 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
Day 2
- 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
SIAPA YANG DAPAT MENGIKUTI TRAINING INI?
- Risk manager
- Analis keuangan
- Staf compliance
- Auditor bank
- Modeler risiko
TRAINER PADA TRAINING INI
Training Uji tekanan risiko yang diselenggarakan, akan diisi oleh trainer yang berkompeten dalam bidang Manajemen risiko perbankan.
JADWAL PELATIHAN 2025
- BATCH 1 : 13-14 Januari 2025
- BATCH 2 : 10-11 Februari 2025
- BATCH 3 : 10-11 Maret 2025
- BATCH 4 : 14-15 April 2025
- BATCH 5 : 15-16 Mei 2025
- BATCH 6 : 12-13 Juni 2025
- BATCH 7 : 10-11 Juli 2025
- BATCH 8 : 18-19 Agustus 2025
- BATCH 9 : 17-18 September 2025
- BATCH 10 : 16-17 Oktober 2025
- BATCH 11 : 13-14 November 2025
- BATCH 12 : 15-16 Desember 2025
Jadwal tersebut dapat disesuaikan dengan kebutuhan calon peserta
LOKASI
- Yogyakarta, Hotel Dafam Malioboro (6.000.000 IDR / participant)
- Jakarta, Hotel Amaris Tendean (6.500.000 IDR / participant)
- Bandung, Hotel Golden Flower (6.500.000 IDR / participant)
- Bali, Hotel Ibis Kuta (7.500.000 IDR / participant)
- Lombok, Hotel Jayakarta (7.500.000 IDR / participant)
INVESTASI
Investasi pelatihan tersebut menyesuaikan dengan jumlah peserta (on call). *Please feel free to contact us.
Apabila perusahaan membutuhkan paket in house training, anggaran investasi pelatihan dapat menyesuaikan dengan anggaran perusahaan.
BENEFIT
- FREE Airport pickup service (Gratis Antar jemput Hotel/Bandara)
- FREE Akomodasi Peserta ke tempat pelatihan bagi peserta
- Module / Handout
- FREE Flashdisk
- FREE Bag or bagpackers (Tas Training)
- Training Kit (Dokumentasi photo, Blocknote, ATK, etc)
- 2xCoffe Break & 1 Lunch, Dinner
- FREE Souvenir Exclusive
Artikel ini ditulis oleh Fatika Febrianti yang memiliki kemampuan dasar di bidang jurnalistik dan kepenulisan, sehingga sering menjadi penulis lepas dan content writer untuk berbagai konten berupa artikel informatif di beberapa media. Saat ini, Fatika sedang fokus untuk menjalani kompetensi sebagai SEO content writer di website nisbiindonesia.com, infotrainingkonsultan.com dan infotrainingjogja.com di bawah naungan PT. Sinergi Membangun Bangsa.
