Pelatihan "Interest Rate Risk in the Banking Book" ini akan memberikan peserta pemahaman yang mendalam tentang lika-liku pengelolaan dan pemodelan risiko suku bunga pada banking book. Dimulai dengan pembahasan regulasi IRRBB, pemodelan berbagai risiko pada banking book seperti gap risk, basis risk, option risk serta credit spread risk. Peserta juga akan mendapatkan pemahaman yang lebih detil mengenai behavioural modelling, deposit price sensitivity, decay rate, weighted average life, delta EVE, delta NII dan juga Economic VaR menggunakan metode Historical Simulation dan Monte Carlo Simulation. Selain itu agar dapat lebih mempermudah pemahaman pemodelan tersebut juga dilengkapi dengan contoh kasus dengan menggunakan program statistika R dalam bentuk web app & mobile app.

Adapun topik bahasan meliputi:

Introduction: Why Banking Regulations Needed, Basel Committee on Banking Supervision, Basel I, Basel II, Basel III & Basel IV, Basel IV Changes, The 3 Pillars Approach, EBA Guidelines on Non-traded Market Risk, Interest Rate Risk in the Banking Book, Challenges for the IRRBB Framework

R Statistical Computing: Why R, Names, Values, Lists & Data Frames, Vectors & Matrix, Factors, Dates & Date-Times, Subsetting, Control flow, Functions, Environments & Conditions, R Markdown, Run Python code from R, Importing CSV, Excel, RDBMS (SQL-Server), Exploratory Data Analysis (EDA), Reporting & Other Unique Features

Types Of Interest Rate Risk: Repricing Risk & Yield Curve Risk, Reference-Rate Basis Risk, Tenor Basis Risk & Currency Basis Risk, Option Risk, Automatic Option Risk, Behavioural Option Risk & Credit Spread Risk in the Banking Book (CSRBB)

Behavioural Modelling: Model Assumptions, Prepayment Risk Modelling, Non-Maturity Deposits (NMD), Stable & Core Deposits, Deposit Price Sensitivity (Beta), Early Redemption Risk, Decay Rate (NMD Run-Off Model), Weighted Average Life (WAL), Off-Balance Sheet Commitments

Interest Rate Derivatives: Financial Markets & Derivatives, Fixed Income Securities, Forward Rate Agreement, Interest Rate Swaps, LIBOR vs OIS, Interest Rate Options, Caps, Floors & Collars, Swaptions

Measurement Systems: Short Term Model vs Long Term Model, Gap Analysis & Duration Analysis, Amenable, Less Amenable & Not Amenable Positions, Cash Flow Bucketing, OJK Scenarios, Option Pricing Models, Stripping The Curve (Bootstrapping), Standardized Methodology IRRBB, Net Interest Income (NII), Economic Value of Equity (EVE), Delta NII & Delta EVE, OJK IRRBB Report, Internal Measurement IRRBB, EU SREP Category, Interest Rate Models, Ultra-Low Interest Rates, Interest Rate Shocks, Monte Carlo Simulation, Economic Value-at-Risk (EVaR), Historical Simulation EVaR, Monte Carlo Simulation EVaR, IRRBB Capital Charge, IRRBB Stress Testing

Monitor & Control: Risk Limits, Mitigation Strategies, Hedging Interest Rate Risk, Hedging with Interest Rate Swaps, Hedging with Interest Rate Caps/Floors/Collar, Disclosure Requirements

Cases: S&L Crisis in the 1980s-1990s, Indonesian Crisis 1998, Northern Rock 2008, Bank of Cyprus 2013, Delta NII & Delta EVE Calculation