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Interest Rate Risk on Banking Book
July 11, 2019
Jadwal Pelatihan Interest Rate Risk on Banking Book
| Tanggal | Tempat | Kota | | Belum ada jadwal terbaru |
OBJECTIVE
- 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 Excel spreadsheet dalam CD
COURSE OUTLINE
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 Value of 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 Design the Spreadsheet Calculation
6. Managing the Fixed Income Product
- Price Calculation on Fixed Income
- Price Calculation on Zero Coupon
- Relationship on Coupon Rate, Current Yield & Yield To Maturity
- 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 Sheet Assumptions
- Assumption for Abnormal Cases
- Bucket Tenor Determination
- Interpolation/extrapolation
- PV01 Modeling
- NII sensitivity Modeling and IRR Reporting
8. IRR Stress Testing Scenario
- Scenario on Steepening Yield Curve
- Scenario on Flattening Yield curve and Pararelly Shifted Scenario
PARTICIPANT
Treasury Manager, Financial Controller, Accounting & Tax Manager, Business Manager, Risk Manager, Operation Manager, Audit & Control
TRAINING METHOD
Pre test
Presentation
Discussion
Case Study
Post test
Evaluation
FACILITY
Training Kit
Handout
Certificate
Lunch + 2x Coffee Break
Souvenir
Pick Up Participant (Yogyakarta)
TRAINING FEE for Interest Rate Risk on Banking Book
Rp7.000.000,-/Participant/Non Residential
