Interest Rate Risk on Banking Book

OBJECTIVE

• 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 Excel spreadsheet dalam CD

COURSE OUTLINE

1. 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

2. Understanding The Yield Curve

• Definition, Type of Yield Curve
• Bootstrapping Method and Calculating Discount Factor

3. Interest Rate Risk Measurement

• Maculay Duration Modified Duration
• Economic Value of Equity
• Present Value of 1 Bp and NII Simulation

4. Interpolation/extrapolation Techniques

• The Need of Interpolation & Extrapolation
• Linier Interpolation and Extrapolation

5. Managing the Fixed Rate Loan Asset Definition, Consumer Loan Portfolio and Design the Spreadsheet Calculation

6. Managing the Fixed Income Product

• Price Calculation on Fixed Income
• Price Calculation on Zero Coupon
• Relationship on Coupon Rate, Current Yield & Yield To Maturity
• Present Value of Basis Point
• Duration Sensitivity Analysis
• PV01 Simulation
• Fixed Income Stress Test and Convexity

7. IRR Spreadsheet Modeling

• On Balance Sheet Assumptions
• Off Balance Sheet Assumptions
• Assumption for Abnormal Cases
• Bucket Tenor Determination
• Interpolation/extrapolation
• PV01 Modeling
• NII sensitivity Modeling and IRR Reporting

8. IRR Stress Testing Scenario

• Scenario on Steepening Yield Curve
• Scenario on Flattening Yield curve and Pararelly Shifted Scenario

PARTICIPANT

Treasury Manager, Financial Controller, Accounting &  Tax Manager, Business Manager, Risk Manager, Operation Manager, Audit & Control

TRAINING METHOD

Pre test

Presentation

Discussion

Case Study

Post test

Evaluation

FACILITY

Training Kit

Handout

Certificate

Lunch + 2x Coffee Break

Souvenir

Pick Up Participant (Yogyakarta)

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