PARTICIPANT
Staf senior dan manajer di bidang accounting dan finance, treasury, audit, dan risk management.
COURSE OUTLINE
• Money Market: Factor Affecting Interest Rates, Types of Yield Curve, Interest Rate Convention and Mathematics, Interbank Placement/Borrowing, Sertifikat Bank Indonesia (SBI), Treasury Bills, Certificate of Deposits, Commercial Papers, Repo Market, Repo SBI, Money Market Mismatch, Interest Rate Gap, Negative Gaping
• Bond Market: Government Bonds, Corporate Debt Markets, Eurobond Markets, Medium-Term Notes, Market Participants, Secured vs Unsecured Bond, Senior vs Subordinated Bond, Call Feature, Covenans, The Secondary Market
• The Bond Instrument: The Time Value of Money, Basic Features and Definitions, Present Value and Discounting, Discount Factors, Bond Price and Yield, Accrued Interest Clean and Dirty Bond Prices, Day-Count Conventions
• Bond Instruments and Interest Rate Risk: Duration, Modified Duration and Convexity, Properties of Macaulay Duration Modified Duration, Convexity, Hedging Bond Positions, Simple Hedging Approaches, Hedge Analysis
• Bond Pricing and Spot and Forward Rates: Zero-Coupon Bonds, Coupon Bonds, Bond Price In Continuous Time, Fundamental Concepts, Stochastic Rates, Coupon Bonds, Forward Rates, Spot and Forward Yield Curve, Yield Curve Smoothing Techniques, Cubic Polynomials, Non-Parametric Methods, Spline-Based Methods
• Market Risk and Credit Risk Measurement: Defining Value-At-Risk, Cash-Flow Mapping, Estimating Volatility, Computing Value-At-Risk, Credit Exposure/Risk, Default Probability, Loss Given Default, Credit Rating Migration, Modeling Credit Risk, Monte Carlo Simulation Credit VaR
METHOD
Pre-test
Presentation
Discussion
Case study
Post-test
