TRAINING STRESS TESTING ON BANKING RISK EXPOSURE CURRENT PRACTICE, MODELING & IMPLEMENTATION

 

DESKRIPSI

Training Stress Testing on Banking Risk Exposure: Current Practice, Modeling & Implementation sangat penting untuk membekali praktisi perbankan dengan kemampuan analisis dan pemodelan risiko terkini. Dengan meningkatnya ketidakpastian ekonomi dan kompleksitas pasar keuangan, stress testing menjadi alat vital untuk mengukur dampak skenario ekstrem terhadap portofolio bank. Pelatihan stress test likuiditas bank ini membantu peserta memahami praktik terbaik, teknik pemodelan risiko, serta cara mengimplementasikan hasil stress test guna meningkatkan ketahanan dan kepatuhan bank terhadap regulasi yang semakin ketat.

Pelatihan ini membahas mengenai stress testing manajemen risiko perbankan dan tidak tuntas jika dipelajari dalam hitungan jam. Oleh karena itu, diperlukan waktu tersendiri dan bimbingan yang profesional.

 

MATERI

  1. Introduction on Stress Testing

    • * Role of Stress Test
    • * The ICAAP
    • * Building Block of Stress Test
    • * Stress Testing Types
    • * Sensitivity versus Scenario Analysis
    • * Analysis on specific Risk Factors
    • * Learning from the Past

  2. Introduction to Value at Risk Model (related to Stress Test)

    • * What is VaR Model?
    • * The background
    • * Advantages of VaR compare to Traditional Risk Measurement
    • * Statistic’s Distribution
    • * Volatility Concept
    • * Calculating the Standard Deviation and generating the Correlation Matrix
    • * Holding Period & Confidence Level
    • * Calculating The individual and Diversified VaR
    • * Historical VaR & Montecarlo VaR
    • * Backtesting the VaR Model

  3. Excell Spreadsheet Exercise :

    • * Modeling VaR in Excell Spreadsheet

  4. Modeling the Stress Testing on Market Risk Exposure

    • * Performing Stress test on Trading Book Exposure
    • * Stress Test on FX Exposure
    • * Stress Test on Trading Interest Rate Risk Exposure
    • * Stress Test on Option Risk Exposure

  5. Excell Spreadsheet Exercise :

    • * Calculating the Stress Level on Trading Book position

  6. Scenario Simulation on Yield Curve under Stress

    • * Term structure of Interest rate
    • * Playing with the Yield Curve versus the Pararelly Shifting
    • * Stress the interest rate risk position Using DV01 Model

  7. Excell Spreadsheet Exercise :

    • * Modeling Stress Level on the YC

  8. Liquidity Stress Testing

    • * Liquidity Profile
    • * Stress Test Scenario :  General Market,
    • * Stress Test Scenario :  Bank Specific Scenario
    • * Data Preparation
    • * Statistic Concept on GMC Scenario & BSC Scenario
    • * Asset Management Strategy

  9. Excell Spreadsheet Exercise : Modeling Stress Level on GMC and BSC Scenario

  10. Stress Test of Interest Rate Risk on Banking Book (IRRBB)

    • * Definition & Background
    • * Duration & Immunization Concept : Macaulay Duration, Modified Duration, Convexity
    • * Risk Sensitivity Asset & Risk Sensitivity Liability
    • * Economic Value of Equity Model
    • * Stress Test on PV01 or PVBP Modeling
    • * Stress Test on NII  (NII Sensitivity Modeling)

  11. Excell Spreadsheet Exercise :

    • * Modeling Stress Level with EVE Model
    • * Modeling Stress Level with NII Simulation
    • * Modeling Stress Level with PVBP

  12. Stress Test on Credit Risk Exposure

    • * Expert System
    • * Design The Scoring-Rating System
    • * Credit Risk Statistic Distribution
    • * Probability of Default
    • * Loss Given Default
    • * Exposure of Default
    • * Calculating the Expected & Unexpected Losses
    • * Performing the Stress Test on Credit Risk Exposure

  13. Excell Spreadsheet Exercise :

    • * Performing Stress Test with Credit Risk VaR Model

  14. Stress Test on Operational Risk Exposure

    • * Operational Risk Statistic Distribution
    • * Probability of Event
    • * Loss Given Event
    • * Event’s Exposure
    • * Calculating the Expected & Unexpected Losses
    • * Performing the Stress Test on Operational Risk Exposure

  15. Excell Spreadsheet Exercise :

    • * Performing Stress Test with Operational Risk VaR Model

 

TRAINING STRESS TESTING ON BANKING RISK EXPOSURE CURRENT PRACTICE, MODELING & IMPLEMENTATION

 

SIAPA YANG DAPAT MENGIKUTI TRAINING INI?

  • Manajer Risiko
  • Analis Risiko Kredit
  • Officer Kepatuhan
  • Staf Pengendalian Risiko
  • Pengembang Model Risiko

 

TRAINER PADA TRAINING INI

Instruktur yang berpengalaman dalam bidang modeling risiko kredit akan mengisi pelatihan risk management stress testing.

 

JADWAL PELATIHAN 2025

  • BATCH 1 : 13-14 Januari 2025
  • BATCH 2 : 10-11 Februari 2025
  • BATCH 3 : 10-11 Maret 2025
  • BATCH 4 : 14-15 April 2025
  • BATCH 5 : 15-16 Mei 2025
  • BATCH 6 : 12-13 Juni 2025
  • BATCH 7 : 10-11 Juli 2025
  • BATCH 8 : 18-19 Agustus 2025
  • BATCH 9 : 17-18 September 2025
  • BATCH 10 : 16-17 Oktober 2025
  • BATCH 11 : 13-14 November 2025
  • BATCH 12 : 15-16 Desember 2025

Calon peserta dapat menyesuaikan jadwal tersebut sesuai dengan kebutuhan

Upgrade diri Anda dengan mengikuti pelatihan bersama kami, berkembang bersama NISBI Indonesia!

 

LOKASI

Pelatihan ini sudah pernah diadakan di Jakarta dan Yogyakarta. Kami juga bisa menyelenggarakan di kota lain, antara lain :

  • Bandung
  • Bali
  • Lombok
  • Makassar

 

INVESTASI

Investasi pelatihan tersebut menyesuaikan dengan jumlah peserta (on call). *Please feel free to contact us.

Apabila perusahaan membutuhkan paket in house training, anggaran investasi pelatihan dapat menyesuaikan dengan anggaran perusahaan.

 

BENEFIT

  • Module / Handout
  • FREE Flashdisk
  • FREE Bag or bagpack (Tas Training)
  • Training Kit (Dokumentasi photo, Blocknote, ATK, etc)
  • 2x Coffee Break & 1 Lunch
  • FREE Souvenir Exclusive

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