Liquidity Risk Management and Stress Test

BENEFIT

• Provide clear understanding on Liquidity Risk Framework due to Basel II and Local Central Bank’s requirement
• Provide Skills & Knowledge on how to perform the Liquidity Maturity Profile under Contractual Basis
• Provide Skills & Knowledge on how to perform the Liquidity Maturity Profile under Behavioral Basis
• Provide Skills & Knowledge on how to set the MCO limit
• Provide Skills & Knowledge on how to perform the Bank Specific Crisis Stress Test Scenario and assumptions
• Provide Skills & Knowledge on how to perform the General Market Crisis Stress Test Scenario and assumptions
• Provide clear understanding on Contingency Funding Plan concept
• Provide capacity to perform the Liquidity Risk Management Policy

MATERI 1. Overview on Liquidity Risk Management

• Milestone on Liquidity Risk Management
• Market Liquidity versus Funding Liquidity Risk
• Lesson learn from Financial Crisis 2007-2009
• Liquidity Risk Ratio-Static Approach:
  • Loan to Deposit Ratio
  • Secondary Reserve Ratio
  • Concentration Ratio
  • Non Bank Deposit Ratio
  • Net Interbank Ratio
  • Swap Funding Ratio
  • Medium Term Funding Ratio
  • Undrawn Facility Ratio

2. Performing The Liquidity Gap Management

• Performing Liquidity Gap under Contractual Basis
• Performing Liquidity Gap under Behavioral Basis
• Main Issue: “How to deal with Items with no predefined maturity or cashflow”
• Statistic Analysis Tools to accommodate the Behavioral assumptions Stress Testing
• The Role of Stress Testing
• Stress test Root Cause
• The Building Block of Stress Testing
• Modeling the Stress Test
• The Role of Thumb of Liquidity Stress Test

3. Liquidity Stress Test Modeling

• Stress Test Scenarios

1. • General Market Scenario
   • Bank Specific Scenario

• Data Preparation
• Applied Statistic for Liquidity Risk
• Statistic Concept on Liquidity Crisis

1. • Time Deposit
   • Saving Account
   • Demand Deposit

• Data Source

1. • Industry
   • Internal

• Applied Statistic for Liquidity Risk
• Statistic Concept on Liquidity Crisis

4. How to Perform The Liquidity Gap Limit?

• Main Factors Consideration
• The MCO Profile
• MCO Limit-The Strategic Decision

5. Contingency Funding Plan

• The Objectives
• Identifying and Recognizing a Liquidity Crisis
• Early Warning Indicator
• Crisis Management Structure
• Management Action Strategies

TRAINING METHOD Presentation Discussion Case Study Evaluation   FACILITY Training Kit Handout Certificate Lunch + 2x Coffee Break Souvenir Pick Up Participant (Yogyakarta)