Description

A focused course, tailored for you

FRTB Capital Attribution for Market Risk Analysts

Build the desk-level capital model that holds up in front of regulators, traders, and the board risk committee.

The IMA-versus-SA capital delta is wider than the desk expected, and the attribution narrative has to be ready before the board risk committee meets. The P&L attribution test results, backtesting breach log, sensitivity-based decomposition, and internal model approval memo all need to tell one coherent story. Most Senior Analysts can produce the numbers. The skill gap is building the artefacts that connect them.

$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

FRTB moved market risk capital from a single VaR number to a layered set of desk-level calculations, each of which can trigger a migration from Internal Models Approach to Standardised Approach at the worst possible moment. Senior Market Risk Analysts sit at the intersection of the trading desk, Finance, and the regulator. They run the P&L attribution test, maintain the backtesting breach register, and feed the sensitivity-based capital decomposition into the RWA pack. The problem is that each of those outputs lives in a different system, owned by a different team, and the quarterly capital cycle always surfaces a gap. The trader asks why the desk RWA jumped. The regulator asks why two backtesting exceptions hit in the same fortnight. The CFO asks whether the IMA approval is at risk. The analyst who can answer all three questions from the same set of artefacts is the one who gets the VP conversation.

What you walk away with

Build a desk-level P&L attribution test workbook that satisfies the FRTB requirement and survives a regulator review.
Maintain a backtesting breach log with the correct classification taxonomy so exceptions do not trigger unnecessary IMA revocation.
Produce the sensitivity-based capital decomposition the trading desk can interrogate without needing a modelling background.
Write the internal model scope memo that defines which desks are on IMA and which are on the SA fallback, with the supporting evidence attached.
Deliver a board-ready RWA attribution summary that links desk-level capital drivers to the firm-wide regulatory capital position.
Run a quarterly IMA health check that gives the Chief Risk Officer a credible early-warning view before the regulator sees it.

The 12 modules

Module 1. The FRTB Architecture a Senior Analyst Needs to Own

A focused orientation to the FRTB framework from the perspective of a desk-level capital analyst, not the quant who built the model. Covers the three components that matter for day-to-day work: the P&L attribution test, the backtesting programme, and the IMA-versus-SA boundary. Maps which regulatory articles govern each component, which internal teams own each input, and where the gaps typically open during the quarterly capital cycle. Participants leave with a one-page accountability map for their own trading book.

Module 2. P&L Attribution Test Design and Threshold Calibration

Builds the P&L attribution test from first principles. Covers the risk-theoretical P&L versus hypothetical P&L split, the Spearman correlation and Kolmogorov-Smirnov test thresholds, and the amber-versus-red breach classification. Explains how miscalibrated sensitivities in the pricing model produce attribution failures that look like a risk system problem but are actually a model scope problem. Participants build a working attribution test template with threshold logic and breach commentary fields pre-structured for the regulator submission.

Module 3. Backtesting Breach Classification and the Exception Register

Covers the four FRTB backtesting exception categories and the escalation rules that govern each. Explains the difference between a model exception and a non-model exception, and why misclassifying a non-model exception as a model exception is the most common error that triggers a regulatory conversation about IMA approval. Participants build the exception register template with the classification taxonomy, the supporting evidence fields, and the 60-day escalation log baked in.

Module 4. Sensitivity-Based Capital Decomposition

Walks through the sensitivity-based capital calculation for a mixed trading desk: delta, vega, and curvature across the seven risk classes. Focuses on the decomposition the trading desk head and the Chief Risk Officer actually need, not the raw regulatory formula. Shows how to build a desk-level capital bridge that explains quarter-on-quarter RWA movement in terms of position changes, market moves, and model updates.

Module 5. IMA Scope Memo: Which Desks, Which Models, Which Evidence

The internal model approval memo defines which desks are eligible for IMA and which fall back to the SA. Covers scope criteria, the model inventory attachment, the backtesting history summary, and the P&L attribution results exhibit that together form the approval package. Explains what a prudential regulator looks for in an initial submission versus a scope-extension request, and how to structure the memo so it can be navigated without a guided tour.

Module 6. SA Fallback Calculation and the IMA-SA Capital Delta

When a desk migrates from IMA to SA the capital impact can be significant and the timing is almost never convenient. This module builds the SA fallback calculation for the most common desk types (rates, credit, FX) using the sensitivity-based method, then constructs the IMA-versus-SA delta analysis that the business head needs to make a retention decision. Covers the calculation, the narrative, and the conversation with the trading desk about what model changes would restore IMA eligibility.

Module 7. The Quarterly Capital Pack: Structure and Review Workflow

Builds the quarterly capital pack from the component outputs produced in earlier modules: the P&L attribution test summary, the backtesting breach register, the sensitivity-based decomposition, and the desk-level RWA table. Covers the internal review workflow from the market risk team through Finance and into the board risk committee package. Explains which numbers require CFO sign-off, which require CRO sign-off, and how to structure the pack so that reviewers can interrogate the data without calling the analyst for a guided walkthrough.

Module 8. Regulator Communication: Breach Notifications and Model Change Applications

Most Senior Analysts produce the backtesting breach notification but have never had to navigate a model change application under FRTB. This module covers both: the content and tone of a breach notification that minimises escalation risk, and the structure of a model change application that gives the regulator confidence without triggering a full re-approval. Includes a notification template and a model change classification guide that distinguishes minor changes (no prior approval required) from material changes.

Module 9. P&L Attribution Failures: Root Cause Diagnosis and Remediation

When the P&L attribution test breaches a threshold the immediate question is whether the problem sits in the sensitivity model, the pricing model, or the risk system mapping. Provides a root cause framework with worked examples from rates and credit books. Covers the three common failure modes (stale sensitivities, missing risk factors, day-count mismatches), remediation steps, and how to document the diagnosis for both the trading desk and the regulator.

Module 10. Board Risk Committee Reporting: The RWA Attribution Summary

The board wants one number and three sentences. The Chief Risk Officer wants the decomposition. This module builds the RWA attribution summary that serves both: a desk-level capital waterfall for quarter-on-quarter movement, the three largest drivers in plain language, and the sensitivity analysis that answers the board's standard IMA-loss scenario question. Participants leave with a template and a worked example from a rates desk.

Module 11. Stress Testing Integration: Linking FRTB Capital to the ICAAP

FRTB capital is the regulatory minimum. The ICAAP requires capital against scenarios that go further. Covers how to feed desk-level sensitivity-based outputs into the stress testing framework, how to calibrate a market stress scenario for a mixed trading book, and how to present the stressed capital position to the board in a way that is consistent with both the FRTB capital pack and the ICAAP narrative.

Module 12. IMA Health Check: Quarterly Self-Assessment Before the Regulator Visits

Builds a repeatable quarterly IMA health check to run before the capital pack is finalised. Covers five indicators that precede a regulator-initiated scope review: sustained P&L attribution amber breaches, clustered backtesting exceptions, sensitivity model version drift, desk restructuring without a scope memo update, and unexplained RWA movement. Participants leave with a one-page template and a scoring rubric that gives the Chief Risk Officer an early-warning signal.

How this addresses your situation

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

The quarterly capital pack deadline is in two weeks and the P&L attribution test results are wider than expected: Modules 2 and 7 build the attribution workbook and the pack structure that turn a number into a defensible narrative.

Two backtesting exceptions hit the same desk in the same fortnight and the regulator has asked for an explanation: Module 3 provides the classification taxonomy and the exception register that separates a model exception from a non-model exception.

The trading desk head is asking whether the IMA-versus-SA delta justifies keeping the current sensitivity model: Modules 4 and 6 build the decomposition and the SA fallback calculation that answer that question with evidence.

The board risk committee wants a plain-language RWA summary before the next meeting: Module 10 builds the capital waterfall and the three-driver narrative that serves both the board and the Chief Risk Officer.

What you get with this course

12 written modules covering P&L attribution testing, backtesting breach classification, sensitivity-based capital decomposition, IMA scope documentation, SA fallback calculation, board-ready RWA attribution, regulator communication, and the quarterly IMA health check.
Downloadable templates: P&L attribution test workbook, backtesting exception register, IMA scope memo, SA fallback calculation sheet, quarterly capital pack structure, RWA attribution summary, IMA health check scorecard.
Worked examples using realistic rates and credit desk data for each template.
Hand-built implementation playbook delivered alongside course access, calibrated to the recipient's role and trading book context.

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

You can produce the P&L attribution test result and the backtesting breach count, but the quarterly capital pack narrative is assembled by committee, the IMA scope memo lives in a drawer somewhere, and the board risk committee question about stressed RWA takes three days to answer.

After

You own the full capital attribution stack from the daily P&L attribution test through to the board-ready RWA summary, with templates for every component, a regulator-ready exception register, and a quarterly health check that surfaces IMA risk before the regulator does.

What happens if you do not address this

FRTB IMA eligibility is a desk-level, evidence-dependent status that can be revoked if the P&L attribution test or backtesting record falls below threshold. The analyst who cannot build and defend the attribution narrative is the analyst who loses the IMA conversation to Finance or to the regulator's own assessment. SA capital is typically 30-50% higher than IMA capital for a mixed trading book. The difference is documented, defensible artefacts.

Who it is for

Market Risk Senior Analysts and Associate Vice Presidents at investment banks, regional banks, and trading-focused asset managers who are responsible for desk-level FRTB capital calculations, P&L attribution testing, and backtesting compliance. Typically three to seven years into a risk function, proficient with VaR and sensitivities, now being asked to own the regulatory capital narrative rather than just produce the inputs.

Who this is NOT for. Credit risk or operational risk analysts whose work does not touch trading book capital. Quants building the underlying pricing models. Risk technology teams whose job is the system, not the regulatory output.

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 45-60 minutes. The full course runs over 12 sessions, with templates ready to apply to live capital cycle work from module 2 onward.

Why $199 is the right number

The Basel Committee's FRTB supervisory guidance is thorough but written for regulators, not for analysts who need to build a quarterly capital pack under a two-week deadline. Internal bank training covers the regulatory framework but rarely covers the specific artefacts (the P&L attribution workbook, the exception register, the IMA scope memo) that the analyst is actually responsible for producing. This course builds those artefacts directly, with templates the analyst owns rather than borrows from a shared drive.

FAQ

Does this course cover the standardised approach as well as IMA?

Yes. Module 6 builds the SA fallback calculation for rates, credit, and FX desks and constructs the IMA-versus-SA delta analysis. The SA is treated as a live alternative rather than a fallback of last resort.

Is the content specific to a particular jurisdiction?

The framework is BCBS FRTB as implemented under APRA APS 116 and the equivalent EU CRR3 requirements. The templates are structured to accommodate both, with notes on the points where APRA and the EBA diverge.

How quickly can I apply the templates to a live capital cycle?

The P&L attribution test workbook and the exception register in modules 2 and 3 are designed to be populated with real data immediately. Most participants apply them within the first week of the course.

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.