Pelatihan "Firm-Wide Stress Testing" ini sangat sesuai bagi profesional yang ingin mendapatkan pemahaman tentang stress testing yang komprehensif terhadap risiko fundamental termasuk metodologi dan berbagai pemodelan risiko serta penggunakan machine learning yang dilengkapi dengan contoh pemodelan real menggunakan program R dalam bentuk web app & mobile app. Model stress-testing yang diberikan pada pelatihan juga dapat digunakan untuk kepentingan Pillar 2 Internal Capital / Liquidity. Adequacy Assessment Process (ICAAP/ILAAP) and Supervisory Review and Evaluation Process (SREP). Selain itu juga dibahas pembuatan scenario menggunakan Monte Carlo Simulation dan juga pembahasan mengenai reverse stress testing.

Adapun topik bahasan meliputi:

Introduction to Stress Testing: The Need for Stress Testing, Stress Testing and Risk Integration, Reverse Stress Testing, Regulatory Capital & Economic Capital, ICAAP, SREF, ILAAP, US CCAR and DFAST, ECB/EBA Comprehensive Assessment, Bank of England UK Bank Stress Test

Measures of Core Risks: Trading Book & Banking Book, Interest Rate Risk in the Banking Book, Market Risk Factors, Credit Risk Components, PD, LGD, EAD, ECL (IFRS9), Counterparty Credit Risk (CCR) & CVA, Operational Risk & Other Risks, LED, KRI & RCSA, Expected Loss & Unexpected Loss

Risk Modeling: VaR & Expected Shortfall (ES), Alternative Risk Measures, Market Risk: VCM, HS & MCS, Liquidity Risk, LCR, NSFR, Interest Rate Risk in the Banking Book, Modeling Using Machine Learning, PD, Copula & Credit VaR / ES, Potential Future Exposure (PFE), Credit Value Adjustment (CVA), Operational Risk & Aggregating Risk

Stress Test Methodologies: ARMA, ARIMA and ARIMAX, Vector Auto Regression & VEC, Macroeconomic Variables (MEV), Monte Carlo Simulation, Cumulative Continuous Probability, Stress Testing Scenario, Finding The Best Regression, Discrete Probability, The Portfolio-Driven Approach, The Event-Driven Approach, Sensitivity Tests, How to Link Risk Parameters and MVs, Econometric Techniques for Stress Testing, Machine Learning Techniques, Stress-testing Methodologies from The BIS

Stress Test - Market Risk & IRRBB: Stress Scenario Construction, The Link Function, Volatility Shift, Stressing VaR / ES, Stressing Liquidity Adjusted VaR, NII, EVE, Delta NII, Delta EVE, Economic VaR & Stressing IRRBB

Performing Stress Test - Credit Risk: Retail Lending, Corporate / SME Lending, Stress Scenario Construction, Link Parameters and MEV, Proportional & Logit Shift, Stressing LGD & EAD, Stressing Loan Loss & ECL (IFRS 9), Counterparty Credit Risk (CCR) & CVA

Performing Stress Test - Liquidity Risk, OpRisk & Other Risks: Stress Scenario Construction, Stress Testing for Liquidity Risk, Stress Testing for Operational Risk, Stress Testing for Other Risks

Risk Integration & Reverse Stress Test: Balance Sheet & P/L Projection, Risk Weighted Assets & Capital Ratios, Leverage & Liquidity Ratios, Top-Down Risk Integration Modeling, Bottom-Up Economic Capital Integration, Reverse Stress Testing, Stress Test Case Studies