BandungJuli 2019Juni 2019Perbankan & KoperasiYogyakarta

Interest Rate Risk on Banking Book

Jadwal Training Interest Rate Risk on Banking Book:
  • 30 Juli - 01 Agustus 2019, Noor Hotel, Bandung
  • 25 - 27 Juni 2019, Prime Plaza Hotel, Yogyakarta

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

Form Pre-Registrasi

Data Materi Training

Topik Training : Interest Rate Risk on Banking Book
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