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Asset Liability Management Interest Rate Risk Banking Book

MANFAAT

• Pemahaman menyeluruh terhadap filosofi Resiko Suku Bunga di Neraca Perusahaan baik Bank maupun Non Bank
• Pemahaman yang jelas mengenai kerangka Kerja Resiko Suku Bunga
• Pemahaman yang cepat dalam membuat model resiko Suku Bunga
• Kemampuan dalam mengantisipasi repricing gap terhadap perubahan suku bunga kedepannya
• Kemampuan dalam Melakukan simulasi resiko dan pendapatan di investment book,
• Dilengkapi dengan excell spreadsheet dalam CD

MATERI Training Asset Liability Management Interest Rate Risk Banking Book

1. Introduction to Structural Interest Rate Risk Management :
   • Why is important, Basle II & Regulatory Approach, SIRR Definition, Risk Management Criteria, Managing of Residual Risk, SIRR Organization and Segregation on Trading & Investment Book.
2. Understanding The Yield Curve :
   • Definition, Type of Yield Curve, Bootstrapping Method and Calculating Discount Factor.
3. Interest Rate Risk Measurement :
   • Maculay Duration Modified Duration, Economic Valueof Equity, Present Value of 1 Bp and NII Simulation.
4. Interpolation/extrapolation Techniques :
   • The Need of Interpolation & Extrapolation,Linier Interpolation and Extrapolation
5. Managing the Fixed Rate Loan Asset Definition, Consumer Loan Portfolio and Designthe Spreadsheet calculation.
6. Managing the Fixed Income Product :
   • Price Calculation on Fixed Income, PriceCalculation on Zero Coupon , Relationship on Coupon Rate, Current Yield & Yield ToMaturity , Present Value of Basis Point, Duration Sensitivity Analysis , PV01 Simulation,Fixed Income Stress Test And Convexity
7. IRR Spreadsheet Modeling :
   • On Balance Sheet Assumptions, Off Balance SheetAssumptions, Assumption for Abnormal Cases, Bucket Tenor Determination,Interpolation / extrapolation, PV01 Modeling, NII sensitivity Modeling And IRR Reporting8. IRR Stress Testing Scenario : Scenario on Steepening Yield Curve, Scenario onFlattening Yield curve and Pararelly Shifted Scenario

TRAINING METHOD

Presentation

Discussion

Case Study

Evaluation

FACILITIES

Training Kit

Handout

Certificate

Lunch + 2 X Coffee Break

Souvenir

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