Home » Online Training – Asset Liability Management Interest Rate Risk Banking Book
Online Training – Asset Liability Management Interest Rate Risk Banking Book
July 11, 2022
Jadwal Pelatihan Online Training – Asset Liability Management Interest Rate Risk Banking Book
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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 Online – Asset Liability Management Interest Rate Risk Banking Book
- 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.
- Understanding The Yield Curve :
- Definition, Type of Yield Curve, Bootstrapping Method and Calculating Discount Factor.
- Interest Rate Risk Measurement :
- Maculay Duration Modified Duration, Economic Valueof Equity, Present Value of 1 Bp and NII Simulation.
- Interpolation/extrapolation Techniques :
- The Need of Interpolation & Extrapolation,Linier Interpolation and Extrapolation
- Managing the Fixed Rate Loan Asset Definition, Consumer Loan Portfolio and Designthe Spreadsheet calculation.
- 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
- 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
