Tekanan likuiditas, perencanaan kontingen dan manajemen neraca keuangan saling
berhubungan erat dan harus digunakan secara bersama-sama. Kemampuan untuk
menunjukkan cakupan institusi yang spesifik, sistemik dan gabungan skenario berdasarkan
stress test adalah komponen yang sangat penting demi kesuksesan industri keuangan global
sekarang ini.
Stress test dapat dilakukan secara internal oleh bank sebagai bagian dari manajemen risiko
mereka, atau otoritas pengawas sebagai bagian dari peraturan pengawasan sektor
perbankan. Tes ini bertujuan untuk mendeteksi titik-titik kelemahan dalam sistem
perbankan pada tahap awal, sehingga tindakan pencegahan dapat diambil sejak dini.
Tujuan
- Pemahaman mengenai konsep dasar Stress Test pada Bank
- Pemahaman mengenai Metodologi Stress Test pada Market Risk Exposure
- Pemahaman mengenai Metodologi Stress Test pada Liquidity Risk Exposure
- Pemahaman mengenai Metodologi Stress Test pada Credit Risk Exposure
- Pemahaman mengenai Metodologi Stress Test pada Operational Risk Exposure
- Memahami urgensi penerapan Rencana Aksi Pemulihan (Recovery Plan) pada perbankan
Materi Pokok
- 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
- 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
- Excell Spreadsheet Exercise:
- Modeling VaR in Excell Spreadsheet
- 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
- Excell Spreadsheet Exercise:
- Calculating the Stress Level on Trading Book position
- 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
- Excell Spreadsheet Exercise:
- Modeling Stress Level on the YC
- 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
- Excell Spreadsheet Exercise:
- Modeling Stress Level on GMC and BSC Scenario
- 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)
- Excell Spreadsheet Exercise:
- Modeling Stress Level with EVE Model
- Modeling Stress Level with NII Simulation
- Modeling Stress Level with PVBP
- 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
- Excell Spreadsheet Exercise:
- Performing Stress Test with Credit Risk VaR Model
- 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
- Excell Spreadsheet Exercise:
- Performing Stress Test with Operational Risk VaR Model
- Identifikasi potensi risiko pada berbagai lini bisnis (business impact analysis – BIA)
- Penetapan Indikator dan trigger serta opsi pemulihan
- Pelaksanaan Stress Testing (idiosyncratic & macro wide shock)
- Penyusunan organisasi dan sistem informasi Recovery Plan
- Studi Kasus dan Praktik
