FIXED INCOME TRADING & INVESTMENT, ENHANCEMENT ON FIXED INCOME ANALYTICS, RISK MODELING AND VALUATION

FIXED INCOME TRADING & INVESTMENT, ENHANCEMENT ON FIXED INCOME ANALYTICS, RISK MODELING AND VALUATION

MENARA PENINSULA / HARRIS – Jakarta |18 s/d 19 February  2011| Rp. 4.850.000,- / Person

Who Should Attend

Para praktisi Risk Analytics Officers, Financial Risk / Analyst, Investment Analyst, Treasurer, Credit Risk, Alma, Internal Audit / Auditor dari Perbankan, Asuransi, Multifinance,maupun korporasi lainnya

Subject Material:

OVERVIEW On BONDS MARKET & INVESTMENT:

Type Of bonds,Type of transaction,OutRight,repo and Reverse Repo),Brokerage Vs Warehousing Trading book VS Banking Book role,Investment type(Trading,AFS &HTM)Mid Office Function-Treasury Control Function: Market price control. Holing Periodic Checking Off Market check.

FIXED INCOME VALUATION:

Price calculation On Fixed Income, Price calculation On Zero Coupon Bonds, Yeild To Maturity ,Current Yeild Calculation, relationship between Coupon,current Yield,YTM.

DEVELOPING THE YIELD CURVE :

Understanding Yield curve,Yield curve Modeling,Term structure Of Interest rate, Calculating Discount factor, calculating The Zero Coupon.

FIXED INCOME ANALYSIS :

• PV of basis point,Maculay Duration,Modfied Duration,Sensitifity
• analysis, Convexity,relationship On Duration & convexity,VaR Concept.

PRICE DISCOVERY:

What Is Pice Discovery, Mark to Market Procedure, Mark To module Procedure.

STRESS TESTING :

Why Stress test, ICAAP, Set up stress Scenerios, Result Interpretastion.

HOW TO SET MARKET RISK LIMIT FOR FIXED INCOME

Profit budget VS Loss Budget,Soft Limit (National,PV01,Duration),Hard Limit (MAT,Cut Loss,MTD & YTD Stop Loss) Rational Parameter setting.

HOW TO SET THE COUNTERPARTY/ISSUER LIMIT FOR FIXED INCOME.

Fundamental analysis-SWOT &Porter Analysis, Scoring & rating analysis, Credit Limit

Trainer:

Team Trainer bidang  Treasury

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