Asset & Liability Management (ALMA)
Asset & Liability Management (ALMA)
Tanggal
14-15 Januari 2010
Jam Pelaksanaan
08:30 s/d 17:00 Wib
Tempat
Hotel Papandayan
Bandung
Pembicara / Fasilitator
Kastawa Yudiatmaja (Benny)
Harga
Rp. 3,000,000
sudah termasuk material kit, sertifikat keikutsertaan, makan siang dan rehat kopi, belum termasuk pajak. Bagi 4 peserta atau lebih dari perusahaan yang sama akan mendapatkan diskon 10 %.
Materi
- Scope of ALM: objectives, introduction, interest rate risk, exchange rate risk, commodity risk, stock market risk, liquidity risk, credit risk, sector risk, concentration risk, correlation risk;
- Framework in ALM: strategic framework, organizational framework, analytical framework, technology framework, performance measurement framework, on versus off balance sheet strategy;
- Yield curve analysis: introduction, bootstrapping, types of yield curves, analyzing yield curve;
- Gap analysis: introduction to gap, interest rate gap, maturity mismatch, asset and liability position gap, gap report, income impact, gap limit, restructuring strategies;
- Simulation and scenario analysis: introduction, measuring risk positions, scenario and results, simulation modeling, Monte Carlo simulation, back testing, dynamic financial analysis, simulation;
- Duration analysis: duration versus yield, maturity and coupon, duration of perpetual bond, bond with embedded options, duration of portfolio, mechanic of duration;
- Convexity analysis: convexity versus yield, maturity and coupon, convexity of perpetual bond, positive and negative convexity;
- Basis point value: basis point value of on and off balance sheet, basis point value for a portfolio;
- Value-at-risk: statistical measures, probability distributions, volatility and correlation, earnings volatility, measuring earnings volatility, earnings-at-risk, calculating earnings-at-risk, cash flow-at-risk, NPV-at-risk, value-at-risk road map;
- ALM tools: futures as a hedging technique, futures versus forwards, hedging interest rate using interest rate swaps, transferring risk using options and re-insurance, using repo market to manage liquidity risk;
- Global best practices: ALCO meetings, ALCO data requirements, ALM policies and procedures, transfer pricing.
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TAG
ALMA, Asset & Liability Management (ALMA), Monte Carlo simulation
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