Tekanan likuiditas, perencanaan kontinjensi, 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 merupakan komponen yang sangat penting bagi keberlangsungan industri keuangan global saat ini.
Stress test dapat dilakukan secara internal oleh bank sebagai bagian dari manajemen risiko, maupun oleh otoritas pengawas sebagai bagian dari regulasi pengawasan sektor perbankan. Stress test 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
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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
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Introduction to Value at Risk (VaR) Model (Related to Stress Test)
- What is VaR Model?
- The background
- Advantages of VaR compared to traditional risk measurement
- Statistic distribution
- Volatility concept
- Calculating standard deviation and correlation matrix
- Holding period and confidence level
- Calculating individual and diversified VaR
- Historical VaR and Monte Carlo VaR
- Backtesting the VaR model
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Excel Spreadsheet Exercise
- Modeling VaR in Excel spreadsheet
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Modeling Stress Testing on Market Risk Exposure
- 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
-
Excel Spreadsheet Exercise
- Calculating stress level on trading book position
-
Scenario Simulation on Yield Curve under Stress
- Term structure of interest rate
- Yield curve movement versus parallel shifting
- Stress testing interest rate risk using DV01 model
-
Excel Spreadsheet Exercise
- Modeling stress level on yield curve
-
Liquidity Stress Testing
- Liquidity profile
- Stress test scenario: general market
- Stress test scenario: bank specific
- Data preparation
- Statistical concept on GMC and BSC scenario
- Asset management strategy
-
Excel Spreadsheet Exercise
- Modeling stress level on GMC and BSC scenario
-
Stress Test of Interest Rate Risk on Banking Book (IRRBB)
- Definition and background
- Duration and immunization concept (Macaulay duration, modified duration, convexity)
- Risk sensitive assets and liabilities
- Economic Value of Equity (EVE) model
- Stress test on PV01 / PVBP modeling
- Stress test on NII (NII sensitivity modeling)
-
Excel Spreadsheet Exercise
- Modeling stress level with EVE model
- Modeling stress level with NII simulation
- Modeling stress level with PVBP
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Stress Test on Credit Risk Exposure
- Expert system
- Design scoring and rating system
- Credit risk statistical distribution
- Probability of Default (PD)
- Loss Given Default (LGD)
- Exposure at Default (EAD)
- Expected loss and unexpected loss calculation
- Stress testing credit risk exposure
-
Excel Spreadsheet Exercise
- Performing stress test with credit risk VaR model
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Stress Test on Operational Risk Exposure
- Operational risk statistical distribution
- Probability of event
- Loss given event
- Event exposure
- Expected and unexpected loss calculation
- Stress testing operational risk exposure
-
Excel Spreadsheet Exercise
- Performing stress test with operational risk VaR model
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Recovery Plan dan Business Impact Analysis
- Identifikasi potensi risiko pada berbagai lini bisnis (Business Impact Analysis/BIA)
- Penetapan indikator, trigger, dan opsi pemulihan
- Pelaksanaan stress testing (idiosyncratic dan macro wide shock)
- Penyusunan organisasi dan sistem informasi recovery plan
- Studi kasus dan praktik
