COURSE OUTLINE
1. 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
2. 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
3. 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
4. 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
5. 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 Smoothing Techniques, Cubic Polynomials, Non-Parametric Methods, Spline-Based Methods
6. 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
PARTICIPANT
Staf senior dan manajer di bidang accounting dan finance, treasury, audit, dan risk management.
METHOD
Presentasi
Diskusi
Studi kasus
Evaluasi
