Program pelatihan Market Risk Modelling Course ini sangat sesuai bagi Anda yang ingin mendapatkan pemahaman pemodelan risiko pasar. Melalui pelatihan ini, peserta diharapkan akan mendapat pengetahuan yang lebih mendalam terhadap pemodelan terkini yang digunakan untuk perhitungan risiko pasar. Dilengkapi dengan contoh-contoh praktis untuk mempermudah pemahaman. Selain itu dijuga banyak pembahasan mengenai stress testing dan bagaimana melakukan validasi terhadap model (backtesting). Program ini dapat dilakukan di kantor Anda dengan waktu kira-kira 12 jam atau sesuai dengan keperluan perusahaan Anda. Selain mendapatkan materi presentasi pelatihan, peserta juga mendapatkan software Excel add-in Monte Carlo Simulation dan berbagai spread sheet lainnya. Oleh karena itu setiap peserta diharapkan membawa notebook masing-masing.

Adapun agenda pembahasan mencakup topik berikut:

Bank Risk Management: banking crisis, role of banks, balance sheet risk management, sources of risk, Basel II regulation, risk management framework, financial products;

Term structure of interest rate: time value of money, bond pricing, bootstrapping, discount factor, yield curve;

Sources of risk: market risk (interest rate risk, currency risk, equity risk, portfolio risk), asset liquidity risk, funding liquidity risk, credit risk, counter party risk, operational risk, and other risks, linear versus non-linear risk, modeling risk factors;

Market risk modeling: risk Measurement, Value-at-Risk, Variance Covariance Method (VCM), derivative pricing, cash flow mapping, Delta Normal, Cornish Fisher, Historical Simulation (HS), Full Valuation, Grid Based Valuation, Boudoukh-Richardson-Whitelaw, Monte Carlo Simulation (MCS), Full Valuation, Boot Strap, Grid Based, tail smoothing, IMA Basel II - Revision, Stressed VaR, incremental charge, stress Testing & scenario analysis, backtesting framework, Binomial Test, Kupiec Test, Conditional (Christoffersen) Backtest;

Computer workshop: VCM, HS dan MCS;

Counter party risk: settlement risk versus pre-settlement risk, current replacement cost, potential credit exposure

Liquidity VaR: liquidity adjusted VaR, cash flow-at-risk;

Monte Carlo simulation: introduction, random generator, probability distribution, Cholesky decomposition, define assumptions, determine forecast variables, calculate credit loss distribution using default mode model, VaR vs expected shortfall

Computer workshop: Monte Carlo Simulation