Profesi Financial Risk Manager adalah profesi untuk manajer dalam pengelolaan risiko di suatu perusahaan yang bergerak dalam bidang keuangan. Profesi ini menjadi penting karena bakal diterapkannya peraturan perbankan internasional Basel II Accord. Profesi ini dinaungi oleh Global Association for Risk Management Professional.
3. Market Risk Measurement and Management: 30%
4. Operational, Integrated Risk & Legal, Accounting & Ethics: 25%
5. Risk Management and Investment Management: 10%
Pertanyaan tidak dipresentasikan berdasarkan kategori, misalnya Market Risk, Credit Risk, dsb. Seorang peserta Ujian FRM diharapkan dapat menganalisa isu terkait risiko dengan cara yang komprehensif. Pertanyaan akan dipresentasikan seolah-olah peserta ujian harus menghadapi dan merumuskan respon terhadap keadaan dunia nyata.
Biaya : Rp. 5.250.000,- /peserta
Jadwal:
* Selasa dan Kamis Jam 18.30 – 21.30 atau
* Sabtu Jam 08.00 – 17.00
Gratis Buku : Refleksi & Strategi Penerapan Manajemen Risiko Perbankan Indonesia oleh Tedy Fardiansyah, FRM
Informasi dan pendaftaran dapat menghubungi
Pascasarjana STIE Perbanas (Sdr. Dini)
Gedung Unit 6 lantai. 7
Jl. Perbanas, Karet Kuningan, Jakarta 12940.
Tlp. 021-5252533, 5222501-4 ext. 6701,
Fax. 5223064.
Embun (0815-86239964)
Materi dan Bahan Bacaan LengkapQuantitative Analysis – 10%Estimating parameters of distributions
Extreme value theory; basic principles
Hypothesis testing
Linear regression and correlation
Mean, standard deviation, correlation, skewness, and kurtosis
Monte Carlo analysis
Probability distributions
Statistical properties and forecasting of correlation, covariance, and volatility
Bahan Referensi - Quantitative Analysis:
Linda Allen, Jacob Boudoukh, Anthony Saunders, Understanding Market, Credit and Operational Risk: The Value At Risk Approach (Oxford: Blackwell Publishing, 2004).
Bab 2 – Quantifying Volatility in VaR Models
John Hull, Options, Futures, and Other Derivatives, 6th ed. (New York: Prentice Hall, 2006). Chapter 19 – Estimating volatilities and correlations
Philippe Jorion, Value at Risk: The New Benchmark for Managing Financial Risk, 3rd ed. (New York: McGraw-Hill, 2007).
Bab 9 – Forecasting risk and correlations
Bab 12 – Monte Carlo Methods
Lampros Kalyvas and Ioannis Akkizidis, Integrated Market, Credit and Operational Risk: A Complete Guide for Bankers and Risk Professionals (London: Risk Books, 2006).
Bab 4 – Extreme Value Theory and in Risk Management
Murray R. Spiegel, John Schiller, and R. Alu Srinivasan, Probability and Statistics, Schaum’s Outlines, 2nd ed. (New York: McGraw-Hill, 2000).
Bab 1 – Basic Probability
Bab 2 – Random Variables and Probability Distributions
Bab 3 – Mathematical Expectation
Bab 4 – Special Probability Distributions
Bab 5 – Sampling Theory
Bab 6 – Estimation Theory
Bab 7 – Tests of Hypotheses and Significance
Bab 8 – Curve Fitting, Regression, and Correlation
Catatan: Peserta Ujian seharusnya tidak mengingat rumus distribusi tetapi seharusnya memahami kapan rumus tersebut sesuai digunakan untuk tipe distribusi tertentu.
Market Risk Measurement and Management – 30%Derivatives on fixed-income securities, interest rates, foreign exchange, equities, and commodities
Emerging market risks including currency crises
Identifying and measuring risk exposures
Interest rate, foreign exchange, equity, and commodity risks
Interest rates and bond pricing
Measuring and managing corporate exposures, including cash flow at risk
Risk budgeting
Stress testing
Valuation and risk analysis of futures, forwards, swaps, and options
Value-at-Risk:
1. definition, delta-normal, historical simulation, Monte Carlo
2. implementation
3. limitations and alternative risk measures, e.g., conditional Value-at-Risk Cash-flow-at-risk, earnings-at-risk
Bahan Referensi - Market Risk Measurement and Management:Allen, Boudoukh, and Saunders, Understanding Market, Credit and Operational Risk.
Bab 1 – Introduction to Value at Risk (VaR)
Bab 3 – Putting VaR to Work
Hull, Options, Futures, and Other Derivatives, 6th ed.
Bab 3 – Hedging Strategies using Futures
Bab 5 – Determination of Forward and Futures Prices
Bab 6 – Interest Rate Futures
Bab 7 – Swaps
Bab 9 – Properties of Stock Options
Bab 10 – Trading Strategies Involving Options
Bab 11 – Binomial Trees
Bab 13 – The Black-Scholes-Merton Model
Bab 15 – The Greek Letters
Bab 16 – Volatility Smiles
Bab 22 – Exotic Options
Jorion, Value-at-Risk, 3rd ed.
Bab 10 – VaR Methods
Bab 11 – VaR Mapping
Bab 14 – Stress Testing
Robert L. McDonald, Derivatives Markets, (Boston: Addison-Wesley, 2003).
Bab 6 – Commodity Forwards and Futures
Anthony Saunders, Financial Institutions Management, 5th ed. (New York: McGraw-Hill, 2005).
Bab 10 – Market Risk
Bab 15 – Foreign Exchange Risk
René Stulz, Risk Management & Derivatives (Mason, Ohio: South-Western, 2003).
Bab 4 – A Firm-Wide Approach to Risk Management
Bab 8 – Identifying and Managing Cash Flow Exposures
Bab 15 – The Demand and Supply for Derivative Products
Bruce Tuckman, Fixed Income Securities, 2nd ed. (Hoboken: John Wiley & Sons, Inc., 2002).
Bab 1 – Bond Prices, Discount Factors, and Arbitrage
Bab 2 – Bond Prices, Spot Rates, and Forward Rates
Bab 3 – Yield to Maturity
Bab 4 – Generalizations and Curve Fitting
Bab 5 – One-Factor Measures of Price Sensitivity
Bab 6 – Measures of Price Sensitivity Based on Parallel Yield Shifts
Bab 7 – Key Rate and Bucket Exposures
Bab 9 – The Science of Term Structure Models
Bab 21 – Mortgage-Backed Securities
Credit Risk Measurement and Management – 25%Analyzing special purpose vehicles and securitizations
Bankruptcy including offsets and priority rules
Contingent claim approach and the KMV Model
Counterparty risks:
1. exposures
2. recovery rates
3. risk mitigation techniques including rating triggers, collateral, and seniority clauses
Credit derivatives
1. Collateralized debt obligations
2. Collateralized default swaps
Credit ratings
Credit risk management models
Credit spreads
Default probabilities
Interest rates and yields
Margining
Netting
Portfolio credit risk
Settlement risk
Bahan Referensi - Credit Risk Measurement and Management:Eduardo Canabarro and Darrell Duffie, “Measuring and Marking Counterparty Risk” in ALM of Financial Institutions, ed. Leo Tilman (London: Euromoney Institutional Investor, 2003). Salinan dari artikel ini tersedia di website GARP Digital Library, www.GARPDigitalLibrary.org.
Christopher Culp, Structured Finance and Insurance: The Art of Managing Capital and Risk (Hoboken: John Wiley & Sons, Inc., 2006).
Bab 16 – Securitization
Arnaud de Servigny and Olivier Renault, Measuring and Managing Credit Risk, (New York: McGraw-Hill, 2004).
Bab 2 – External and Internal Ratings
Bab 3 – Default Risk: Quantitative Methodologies
Bab 4 – Loss Given Default
Bab 6 – Credit Risk Portfolio Models
Bab 7 – Credit Risk Management and Strategic Capital Allocation
Ashish Dev, Economic Capital, (London: Risk Books, 2004).
Bab 7 – Economic Capital for Counterparty Credit Risk, by Evan Picoult and David Lamb.
Gunter Meissner, Credit Derivatives, Application, Pricing and Risk Management, (Malden, MA: Blackwell Publishing, 2005).
Bab 2 – Credit Derivatives Products
Bab 3 – Synthetic Structures
Bab 4 – Application of Credit Derivatives
Bab 6 – Risk Management with Credit Derivatives
Saunders, Financial Institutions Management, 5th ed.
Bab 11 – Credit Risk: Individual Loan Risk
Bab 12 – Credit Risk: Loan Portfolio and Concentration Risk
Bab 16 – Sovereign Risk
Bab 27 – Loan Sales and Other Credit Risk Management Techniques
Stulz, Risk Management & Derivatives.
Bab 18 – Credit Risks and Credit Derivatives
Operational and Integrated Risk Management, Legal – 25%Aggregated distributions
Allocation of risk capital across the firm
Basel II Accord
1. the three pillars
2. the internal ratings-based approach (foundation and advanced IRB)
3. operational risk (foundation and advanced approach)
Correlations across market, credit, and operational risk
Definition of risk capital
Differences between market and operational VaRs
Evaluating the performance of risk management systems
Hedging operational risk using financial engineering
Implementation risks of risk management
Internal models approach for market risk
Insuring operational risk
Legal risk
Liquidity risk
Measuring firm-wide risk
Benefits and costs of firm-wide risk management
Severity and frequency distributions for operational risk
Types of operational risk
Workflow in financial institutions
Bahan Referensi - Operational and Integrated Risk Management, Legal:Allen, Boudoukh, and Saunders, Understanding Market, Credit and Operational Risk: The Value At Risk Approach.
Bab 5 – Extending the VaR Approach to Operational Risk
Michael Crouhy, Dan Galai, and Robert Mark, Risk Management (New York: McGraw-Hill, 2001).
Bab 14 – Capital Allocation and Performance Measurement
Christopher L. Culp, The Risk Management Process: Business Strategy and Tactics (Hoboken: John Wiley & Sons, Inc, 2001).
Bab 17 – Identifying, Measuring, and Monitoring Liquidity Risk
Ellen Davis, ed., The Advanced Measurement Approach to Operational Risk, (London: Risk Books, 2006).
Bab 4 – Operational Risk Economic Capital Measurement: Mathematical Models for Analysing Loss Data, by Gene Alvarez
de Servigny, Renault, Measuring and Managing Credit Risk.
Bab 10 – Regulation
Kevin Dowd, Measuring Market Risk, 2nd ed., (West Sussex: John Wiley & Sons, Inc., 2005).
Bab 16 - Model Risk
Reto Gallati, Risk Management and Capital Adequacy (New York: McGraw-Hill, 2003).
Bab 6 – Case Studies
Kalyvas and Akkizidis, Integrated Market, Credit and Operational Risk: A Complete Guide for Bankers and Risk Professionals (London: Risk Books, 2006).
Bab 3 – Operational Risk
Andrew Kuritzkes, Til Schuermann and Scott M. Weiner. "Risk Measurement, Risk Management and Capital Adequacy in Financial Conglomerates." Brookings-Wharton Papers on Financial Services: 2003. Ed. Robert E. Litan and Richard Herring. Washington D.C.: Brookings Institutional Press, 2003. Salinan dari artikel ini tersedia di website GARP Digital Library, www.GARPDigitalLibrary.org.
Brian W. Nocco and René M. Stulz, 2006, “Enterprise Risk Management: Theory and Practice,” Journal of Applied Corporate Finance 18 (4), 8 – 20. Salinan dari artikel ini tersedia di website GARP Digital Library, www.GARPDigitalLibrary.org.
Saunders, Financial Institutions Management, 5th ed.
Bab 14 – Technology and Other Operational Risks
Stulz, Risk Management & Derivatives.
Bab 2 – Investors and Risk Management
Bab 3 – Creating Value with Risk Management
Counterparty Risk Management Policy Group II, July 2005. “Toward Greater Financial Stability: A Private Sector Perspective. The Report of the Counterparty Risk Management Policy Group II”. Salinan dari full report ini tersedia di website GARP Digital Library, www.GARPDigitalLibrary.org.
Bagian I: Introduction
Bagian II: Executive Summary and Recommendations
Bagian III: Risk Management and Risk-Related Disclosure Practices
Bahan Referensi - Basel:
Peserta Ujian FRM diharapkan memahami struktur tujuan dan umum dari Basel II Accord dan aplikasi umum dari berbagai pendekatan untuk menghitung persyaratan kebutuhan modal minimum.
Peserta Ujian FRM diharapkan tidak menghafalkan detail spesifik seperti bobot risiko untuk berbagai aset.
“Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework – Comprehensive Version” (Basel Committee on Banking Supervision Publication, June 2006). Salinan dari artikel ini tersedia di website GARP Digital Library, www.GARPDigitalLibrary.org.
“Studies on credit risk concentration: an overview of the issues and a synopsis of the results from the Research Task Force project” (Basel Committee on Banking Supervision Publication, November 2006). Salinan dari artikel ini tersedia di website GARP Digital Library, www.GARPDigitalLibrary.org.
“An Explanatory Note on the Basel II IRB Risk Weight Functions” (Basel Committee on Banking Supervision Publication, July 2005). Salinan dari artikel ini tersedia di website GARP Digital Library, www.GARPDigitalLibrary.org.
Marc R. Saidenberg and Til Schuermann, "The New Basel Accord and Questions for Research" (May 2003). Wharton Financial Institutions Center Working Paper No. 03-14. Salinan dari artikel ini tersedia di website GARP Digital Library, www.GARPDigitalLibrary.org.
Catatan: artikel ini menyediakan gambaran efektif dari motivasi, tujuan, dan struktur dari Basel II Accord dan isu potensial dengan implementasinya. Detail spesifik mungkin berbeda dari versi akhir dari Accord yang terdaftar di atas.
Risk Management and Investment Management – 10%Traditional investment risk management
Return metrics (Sharpe ratio, information ratio, VaR, relative VaR, tracking error, survivorship
bias)
Implementing VaR
Benchmarking asset mixes
Risk decomposition and performance attribution
Risk budgeting
Tracking error
Setting risk limits
Risk of alpha transfer strategies
Risk management issues of pension funds
Hedge fund risk managementRisk-return metrics specific to hedge funds (drawdown, Sortino ratio)
Risks of specific strategies (fixed-income arbitrage, merger arbitrage, convert arbitrage, equity long/short-market neutral, macro, distressed debt, emerging markets)
Asset illiquidity, valuation, and risk measurement
The use of leverage and derivatives and the risks they create
Problems in measuring exposures to risk factors (dynamic strategies, leverage, derivatives, style drift)
Correlations among hedge funds and between hedge funds and other assets
Bahan Referensi - Risk Management and Investment Management:Noel Amenc and Veronique Le Sourd, Portfolio Theory and Performance Analysis (West Sussex: Wiley, 2003).
Bab 4 – The Capital Asset Pricing Model and Its Application to Performance Measurement
Bab 6 – Multi-Factor Models and Their Application to Performance Measurement
Bab 8 – Fixed Income Security Investment
Ludwig B. Chincarini, “The Amaranth Debacle: A Failure of Risk Measures or a Failure of Risk Management?” December 2006. Salinan dari artikel ini tersedia di website GARP Digital Library, www.GARPDigitalLibrary.org.
William Fung and David Hsieh, 2002, “The Risk in Fixed-Income Hedge Fund Strategies”, Journal of Fixed Income 12, 6-27. Salinan dari artikel ini tersedia di website GARP Digital Library, www.GARPDigitalLibrary.org.
Lars Jaeger, ed., The New Generation of Risk Management for Hedge Funds and Private Equity Investments, (London: Euromoney Institutional Investor, 2003).
Bab 6 – Funds of Hedge Funds, by Sohail Jaffer
Bab 27 – Style Drifts: Monitoring, Detection and Control, by Pierre-Yves Moix
Lars Jaeger, Through the Alpha Smoke Screens: A Guide to Hedge Fund Return Sources, (New York: Euromoney Institutional Investor, 2005).
Bab 5 – Individual Hedge Fund Strategies
Bab 9 – Benchmarking Hedge Fund Performance
Jorion, Value at Risk, 3rd ed.
Bab 7 – Portfolio Risk: Analytical Methods
Bab 17 – VaR and Risk Budgeting in Investment Management
President’s Working Group on Financial Markets, “Agreement among PWG and U.S. Agency Principals on Principles and Guidelines Regarding Private Pools of Capital”, February 2007. Salinan dari artikel ini tersedia di website GARP Digital Library, www.GARPDigitalLibrary.org.
Stulz, René M., "Hedge Funds: Past, Present and Future". Forthcoming in the Journal of Economic Perspectives, Spring 2007. Salinan dari artikel ini tersedia di website GARP Digital Library,
http://www.garpdigitallibrary.org/.