Sophisticated Liquidity and Funding Risk Modeling for Modern Treasury Operations
Sophisticated Liquidity and Funding Risk Modeling for Modern Treasury Operations
Description
Dalam lanskap perbankan modern yang semakin kompleks, risiko likuiditas dan pendanaan (funding risk) menjadi salah satu fokus utama dalam menjaga stabilitas institusi keuangan. Perubahan perilaku nasabah, digitalisasi layanan perbankan, meningkatnya volatilitas pasar, serta ketidakpastian ekonomi global telah membuat profil likuiditas bank menjadi lebih dinamis dan sulit diprediksi.
Pendekatan tradisional yang berbasis rasio statis dan historical trend analysis tidak lagi memadai untuk menangkap kompleksitas risiko likuiditas dan pendanaan saat ini. Oleh karena itu, diperlukan pendekatan yang lebih canggih (sophisticated) melalui modeling, simulasi, dan analitik prediktif untuk mendukung pengambilan keputusan treasury yang lebih akurat dan proaktif.
Objectives
- Memahami konsep lanjutan dalam liquidity risk dan funding risk modeling di perbankan modern.
- Meningkatkan kemampuan dalam membangun dan menginterpretasikan model risiko likuiditas dan pendanaan.
- Mengembangkan pemahaman tentang perilaku arus kas (cash flow behavior) dalam kondisi normal dan stres.
- Meningkatkan kemampuan analisis berbasis skenario (scenario analysis) dan simulasi stres (stress testing).
- Mendorong penggunaan data dan model kuantitatif dalam pengambilan keputusan treasury.
- Mempersiapkan peserta untuk mengelola risiko likuiditas secara lebih proaktif, presisi, dan berbasis prediksi.
Course outline
1. Advanced Liquidity Risk Concepts
- Evolusi manajemen risiko likuiditas
- Perbedaan pendekatan tradisional vs model-based liquidity management
- Structural vs contingent liquidity risk
- Key drivers of liquidity risk dalam perbankan modern
2. Funding Risk Dynamics
- Struktur pendanaan bank (retail, wholesale, institutional funding)
- Funding concentration risk
- Behavioral stability of deposits
- Cost of fund volatility modeling
- Early warning signals of funding stress
3. Cash Flow Modeling Techniques
- Cash flow gap analysis (contractual vs behavioral cash flows)
- Time bucket analysis dalam liquidity profiling
- Behavioral assumptions dalam modeling deposito dan kredit
- Prepayment dan early withdrawal modeling
- Dynamic cash flow forecasting
4. Liquidity Risk Modeling Approaches
- Deterministic vs stochastic liquidity modeling
- Liquidity-at-Risk (LaR) concept
- Monte Carlo simulation untuk liquidity risk
- Scenario-based liquidity projections
- Reverse liquidity stress testing
5. Stress Testing Framework for Liquidity and Funding
- Design of liquidity stress scenarios
- Systemic vs idiosyncratic liquidity shocks
- Survival horizon analysis
- Liquidity buffer adequacy assessment
- Contingency Funding Plan (CFP) integration
6. Interest Rate and Market Impact on Funding
- Sensitivity of funding structure to interest rate changes
- Repricing risk in liabilities
- Spread behavior under market stress
- Interaction between market risk and liquidity risk
7. Data Analytics and Model Implementation
- Data requirements for liquidity modeling
- Role of historical data vs forward-looking indicators
- Model validation and back-testing
- Use of analytics tools (Python, R, or treasury systems)
- Dashboarding and visualization of liquidity metrics
8. Integrated Treasury Risk Decision-Making
- Linking liquidity models with ALM strategy
- Risk appetite framework integration
- Decision support system for treasury operations
- Governance and model risk management
- Best practice implementation in global banking
9. Case Studies and Practical Applications
- Liquidity crisis simulation case study
- Bank failure due to funding mismatch analysis
- Best practice liquidity modeling in international banks
- Lessons learned from market stress episodes
Participants
- Divisi Treasury & Investment
- Divisi Risk Management
- Divisi Finance
- Divisi Banking
- Divisi Accounting & Tax
- Divisi Perencanaan & Pengembangan
- Divisi Compliance & APUPPT
- Divisi Audit Internal
- Divisi Corporate Secretary & Humas
Method
- Pre-test
- Presentation
- Discussion
- Case study
- Post-test
Facilities
- Ruang Meeting Representatif
- Sertifikat Pelatihan Resmi
- Instruktur Profesional & Berpengalaman
- Training Kit Eksklusif
- Souvenir
- Pick Up Participant (Yogyakarta)
