Januari 2020Perbankan & KoperasiYogyakarta

Liquidity Risk Management and Stress Test

Jadwal Pelatihan Liquidity Risk Management and Stress Test

TanggalTempatKota
Belum ada jadwal terbaru

BENEFIT

  • Provide clear understanding on Liquidity Risk Framework due to Basel II and Local Central Bank’s requirement
  • Provide Skills & Knowledge on how to perform the Liquidity Maturity Profile under Contractual Basis
  • Provide Skills & Knowledge on how to perform the Liquidity Maturity Profile under Behavioral Basis
  • Provide Skills & Knowledge on how to set the MCO limit
  • Provide Skills & Knowledge on how to perform the Bank Specific Crisis Stress Test Scenario and assumptions
  • Provide Skills & Knowledge on how to perform the General Market Crisis Stress Test Scenario and assumptions
  • Provide clear understanding on Contingency Funding Plan concept
  • Provide capacity to perform the Liquidity Risk Management Policy

 

MATERI Training Liquidity Risk Management and Stress Test

1. Overview on Liquidity Risk Management

  • Milestone on Liquidity Risk Management
  • Market Liquidity versus Funding Liquidity Risk
  • Lesson learn from Financial Crisis 2007-2009
  • Liquidity Risk Ratio-Static Approach:
    • Loan to Deposit Ratio
    • Secondary Reserve Ratio
    • Concentration Ratio
    • Non Bank Deposit Ratio
    • Net Interbank Ratio
    • Swap Funding Ratio
    • Medium Term Funding Ratio
    • Undrawn Facility Ratio

2. Performing The Liquidity Gap Management

  • Performing Liquidity Gap under Contractual Basis
  • Performing Liquidity Gap under Behavioral Basis
  • Main Issue: “How to deal with Items with no predefined maturity or cashflow”
  • Statistic Analysis Tools to accommodate the Behavioral assumptions Stress Testing
  • The Role of Stress Testing
  • Stress test Root Cause
  • The Building Block of Stress Testing
  • Modeling the Stress Test
  • The Role of Thumb of Liquidity Stress Test

3. Liquidity Stress Test Modeling

  • Stress Test Scenarios
    • General Market Scenario
    • Bank Specific Scenario
  • Data Preparation
  • Applied Statistic for Liquidity Risk
  • Statistic Concept on Liquidity Crisis
    • Time Deposit
    • Saving Account
    • Demand Deposit
  • Data Source
    • Industry
    • Internal
  • Applied Statistic for Liquidity Risk
  • Statistic Concept on Liquidity Crisis

4. How to Perform The Liquidity Gap Limit?

  • Main Factors Consideration
  • The MCO Profile
  • MCO Limit-The Strategic Decision

5. Contingency Funding Plan

  • The Objectives
  • Identifying and Recognizing a Liquidity Crisis
  • Early Warning Indicator
  • Crisis Management Structure
  • Management Action Strategies

 

TRAINING METHOD

Presentation

Discussion

Case Study

Evaluation

 

FACILITY

Training Kit

Handout

Certificate

Lunch + 2x Coffee Break

Souvenir

Pick Up Participant (Yogyakarta)

 

TRAINING FEE for Liquidity Risk Management and Stress Test

Rp6.500.000,-/Peserta/Non Recidential

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