Description

A focused course, tailored for you

CIB Risk Framework Build for the Basel IV Transition

A hands-on course for risk managers building internal models, RWA calculations, and FRTB-aligned reporting under the new capital rules.

The RWA pack that cleared the last model validation committee was built on Basel III assumptions. The phased output floor, revised SA-CCR, FRTB standardised approach, and restructured CVA capital charge each hit a different part of the calculation. Risk managers in CIB need to rebuild the artefact stack before the next regulatory review cycle catches the gap.

$199 one-time

Tailored to your situation. Access within 24 hours. 30-day money-back.

Includes a hand-built implementation playbook delivered alongside course access, generated for your specific situation.

Why this course

CIB risk managers sit at the intersection of four simultaneous framework transitions: SA-CCR replacing CEM for counterparty credit risk, FRTB displacing IMA/VaR for market risk, the revised CVA framework replacing the existing charge, and the output floor constraining internal model benefits across the board. Each one has its own implementation timeline, its own internal model approval requirements, and its own reporting format. The problem is not reading the Basel IV text. The problem is building a coherent set of deliverables, from the sensitivity-based method desk P&L attribution to the SA floor RWA reconciliation, that a model governance committee can approve and a lead supervisor can examine without finding an inconsistency between what the desk says and what the regulatory capital report says.

What you walk away with

Build a working SA-CCR implementation workbook covering replacement cost, potential future exposure, and the alpha multiplier for a mixed derivatives portfolio.
Structure an FRTB standardised approach desk configuration with correct sensitivity calculations and the P&L attribution test documentation a model validation committee requires.
Calculate the output floor impact on total RWA across credit risk, market risk, and CVA, with the reconciliation table that shows how internal model estimates relate to the floor.
Produce the CVA capital charge under the revised basic and standardised approaches, with the hedging eligibility documentation that supports the calculation.
Draft the internal model governance documentation pack covering scope of approval, back-testing results, and the override log format regulators request during on-site reviews.
Map the phased implementation schedule to a risk function workplan that sequences model validation, system builds, and regulatory submission correctly.

The 12 modules

Module 1. The Basel IV Architecture: What Changed and What Did Not

A structured map of the four simultaneous transitions, their interdependencies, and the sequencing problem they create for a CIB risk function. This module focuses on identifying which existing models, reports, and governance documents need replacement versus which need recalibration. Includes a framework for prioritising build effort against the phased implementation timeline without creating gaps that surface during a regulatory review.

Module 2. SA-CCR Implementation: Replacement Cost and PFE Calculation

Step-by-step construction of the SA-CCR replacement cost and potential future exposure calculations for a mixed portfolio of interest rate, FX, credit, and equity derivatives. Covers netting set aggregation, the supervised delta formula for each asset class, the maturity factor, and the alpha multiplier. Includes a worked example that produces the exposure at default figure a capital report requires and the documentation that supports it.

Module 3. SA-CCR Collateral Recognition and the Margin Period of Risk

How the SA-CCR treats variation margin, initial margin, and independent amounts under cleared and uncleared CSA agreements. Covers the margin period of risk assumptions for centrally cleared versus bilateral trades, the impact of collateral agreement type on the PFE add-on calculation, and the documentation requirements for margin recognition that a model validator and regulator will check against the ISDA CSA on file.

Module 4. FRTB Standardised Approach: Desk Structure and Sensitivity Inputs

How to configure trading desks for FRTB SA eligibility, define the boundary between banking book and trading book at desk level, and produce the sensitivity inputs the SA calculation requires. Covers the delta, vega, and curvature risk classes, the prescribed shock scenarios for each risk factor bucket, and the aggregation formula across buckets and risk classes. Includes the desk-level documentation package that supports a regulatory approval submission.

Module 5. FRTB P&L Attribution Test and Back-Testing

The P&L attribution test is the gate between SA and IMA eligibility. This module walks through the hypothetical P&L calculation versus the risk-theoretical P&L, the Spearman correlation and Kolmogorov-Smirnov test thresholds, and how to construct the attribution test report that a model validation committee reviews quarterly. Also covers the IMA back-testing traffic light system and the implications of a red zone breach for capital surcharges and model approval status.

Module 6. The Output Floor: Mechanics, RWA Reconciliation, and Capital Impact

The output floor sets a binding minimum on internal model RWA at 72.5 percent of the SA equivalent. This module covers the calculation at the consolidated level and at the individual risk category level, the aggregation across credit risk, market risk, operational risk, and CVA, and how to build the floor reconciliation table that shows the relationship between internal model estimates and the floor constraint. Includes the management information format most useful for reporting floor impact to senior risk committees.

Module 7. CVA Capital Charge Under the Revised Framework

The revised CVA framework replaces the existing charge with two approaches: the basic approach and the standardised approach. This module covers the exposure component under each approach, the hedging eligibility criteria for single-name CDS and index instruments, and the calculation of the aggregate CVA capital charge. Includes the documentation required to support hedging recognition, and the worked example that reconciles the revised charge against the existing CVA calculation in the capital report.

Module 8. Internal Model Governance: Scope of Approval and Validation Standards

A model governance documentation pack that a CIB risk function needs to support an internal model approval request covers scope of application, model design documentation, initial validation results, ongoing monitoring standards, and the override and exception log format. This module walks through each component, the regulatory standards each section must meet under CRR3 and EBA guidelines, and the process for maintaining the pack through model changes and annual validation cycles.

Module 9. Regulatory Capital Reporting: COREP Templates and Data Lineage

The COREP templates for market risk (C17.00, C18.00) and counterparty credit risk (C25.00 through C27.00) under the revised framework require data that now flows from multiple calculation sources. This module covers the mapping from SA-CCR and FRTB SA outputs to the relevant COREP fields, the data lineage documentation that a regulator expects to trace from trade-level inputs to the reported capital figure, and the reconciliation between the regulatory capital report and the internal management capital report.

Module 10. Supervisory Review Preparation: On-Site Examination Readiness

A lead supervisor reviewing a CIB risk function typically requests the model documentation pack, the last two annual validation cycles, four quarters of P&L attribution test reports, the SA-CCR workbook for a sample of netting sets, and the floor reconciliation table. This module covers assembling and maintaining this readiness package, the common gaps supervisors find during on-site reviews, and how to address a findings letter cleanly.

Module 11. Stress Testing Integration: ICAAP and Internal Capital Allocation

The Basel IV capital requirement is the regulatory floor. The ICAAP internal capital assessment runs above it and must reflect the specific risk profile of the CIB book. This module covers how to integrate the SA-CCR, FRTB, CVA, and output floor calculations into an ICAAP stress scenario, how to document the link between regulatory capital and internal capital allocation, and how to present the combined capital adequacy position to a board risk committee in a format that supports strategic decisions.

Module 12. Implementation Workplan: Sequencing Build, Validation, and Submission

The phased Basel IV implementation schedule, model validation lead times, and system build dependencies create a sequencing problem that a risk function needs to solve before committing resources. This module covers how to build an implementation workplan that sequences the SA-CCR workbook, FRTB desk configuration, CVA framework update, output floor calculation, and COREP template revisions against the regulatory submission calendar, with decision gates that allow the plan to absorb delay in one workstream without cascading to the others.

How this addresses your situation

Specific modules that map to what you said you are dealing with.

Model validation committee requesting updated SA-CCR and FRTB documentation before the next approval cycle

Regulator submitting a targeted review request covering market risk capital calculation and back-testing results

Senior risk committee asking for an output floor impact analysis against the current internal model RWA

Head of Treasury requesting a capital planning figure for the next ICAAP that reflects all four Basel IV transitions

What you get with this course

12 written modules in the Art of Service learning environment
SA-CCR implementation workbook template covering RC, PFE, and alpha calculation
FRTB SA desk structure and sensitivity calculation template
Output floor reconciliation table template
CVA capital charge calculation template with hedging recognition documentation
Internal model governance documentation pack template
COREP data lineage mapping template
Hand-built implementation playbook tailored to the CIB risk manager role

What you will have in hand by Day 1, Week 1, Month 1

Within 24 hours your account in the learning environment is provisioned and the tailored implementation playbook is delivered alongside it.

Before and after

Before

The capital calculation runs on pre-existing models and documentation built for Basel III. The model validation committee is flagging gaps. The COREP templates for the revised framework are partially mapped. The implementation workplan exists as a slide deck but has no sequenced decision gates.

After

The SA-CCR workbook, FRTB desk configuration, CVA charge calculation, and output floor reconciliation are documented to the standard a model validation committee and a lead supervisor can examine. The ICAAP stress scenario reflects all four transitions. The regulatory submission calendar has a sequenced workplan behind it.

What happens if you do not address this

The phased output floor and FRTB SA timeline are not optional. A risk function that arrives at the next supervisory review with documentation gaps between what the desk reports and what the regulatory capital report shows faces model approval suspension, capital add-ons, and a remediation plan under supervision. The build needs to happen before the review cycle, not in response to it.

Who it is for

Risk managers at corporate and investment banks who own the capital calculation, model approval, and regulatory reporting stack for a trading book, lending book, or derivatives portfolio. Typically accountable to a Chief Risk Officer or Head of Market Risk, working directly with model validation teams, treasury, and the regulator-facing supervision team.

Who this is NOT for. Risk professionals in retail banking, insurance, or asset management who do not work with trading book capital requirements, internal models, or the Basel IV transition specifically. Also not for analysts who are two or more reporting layers removed from the capital calculation itself.

How it arrives

Text-based course in the Art of Service learning environment, plus downloadable templates and worked examples for every module, plus the hand-built implementation playbook delivered alongside course access.

Time investment. Each module is designed to be completed in one focused working session of 45-60 minutes. The full course runs across 12 modules. Most risk managers work through it over two to three weeks alongside their primary workload.

Why $199 is the right number

The Basel IV implementation guidance from the EBA and BIS is the authoritative source but provides no worked examples, no implementation templates, and no sequenced workplan. Internal training programs from risk consulting firms typically cost upward of several thousand dollars per participant and cover theory without the implementation artefacts. This course delivers the working templates and the sequenced build logic at $199.

FAQ

Does this course cover CRR3 specifically or is it generic Basel IV?

The course is built around the CRR3 framework as the European implementation of Basel IV, covering the SA-CCR, FRTB, CVA, and output floor provisions as they apply to a CIB risk function operating under ECB or PRA supervision. Where the US implementation differs, the relevant differences are noted.

Is the implementation playbook a generic template or built for my specific situation?

The implementation playbook is hand-built by Gerard Blokdijk within 24 hours of purchase, tailored to the CIB risk manager role with attention to the specific transitions covered in the course. It is not a generic template.

Can I share the course templates with my team?

The course is a single-seat licence. Teams that want to work through the implementation together are welcome to enquire about a group arrangement by reply.

30-day money-back guarantee. If after a week of working through the materials this is not what you needed, reply to the receipt email and a full refund is processed. No questions, no forms.

Within 24 hours your account in the learning environment is provisioned and the tailored implementation playbook is delivered alongside it.