FRTB Internal Model Approval for UK CIB Risk Teams

Description

What is the FRTB Internal Model Approval for UK course about?

The complete guide to P&L attribution testing, back-testing, and PRA IMA candidacy documentation for market risk professionals. Your IMA candidacy letter is ready, but the P&L attribution test keeps failing for one or two desks, the PRA has returned a Request for Information on the back-testing methodology, and the desk is sitting on standardised approach capital while the review drags into another.

Why this course?

What do you take away from the FRTB Internal Model Approval for UK course?

Diagnose a failing PLAT result, identify which positions drive the Spearman or unexplained P&L discrepancy, and produce the methodology note the PRA expects as supporting evidence. Structure an IMA candidacy assessment letter that covers all four PRA examination areas in a format the relationship team can endorse before submission. Classify risk factors under the NMRF framework, apply the real-price observation test correctly.

What you get with this course?

Twelve written modules covering the complete FRTB IMA candidacy process from desk eligibility through post-approval operations. Downloadable templates: PLAT methodology note, back-testing exception analysis, NMRF classification policy, IMA candidacy letter structure, model governance workflow, and PRA RFI response framework. Worked examples for each methodology document using realistic rates-desk and credit-desk scenarios. The hand-built implementation playbook delivered alongside course access, tailored to the.

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

Course access within 24 hours of purchase. Tailored implementation playbook delivered alongside course access, covering the specific desk types and risk factor classes in your IMA candidacy scope.

What does the FRTB Internal Model Approval for UK cover on before and after?

Each PLAT failure is a separate investigation. The candidacy letter keeps getting pushed back by PRA RFIs. The desk sits on standardised approach capital while the review drags, and the governance log is not in the format the supervisors want to see. A clear methodology note for every PLAT scenario, a candidacy letter structure that addresses all four PRA review areas in.

What happens if you do not address this?

Every quarter a desk stays on the standardised approach rather than IMA, the capital charge gap compounds across the trading book. The PRA review cycle has fixed windows, and missing the current cycle means another quarter at SA capital levels while the remediation documentation sits unfinished.

Who it is for?

Market risk professionals in RISK UK functions at CIB banks who are actively working on FRTB IMA candidacy for one or more trading desks. Typically a VP or Director responsible for coordinating the candidacy submission, liaising with the PRA relationship team, and owning the methodology documentation. The team has the quantitative skills to run the ES and PLAT calculations. What this course.

More answers: what you get with every course, refund policy, all help answers.

A focused course, tailored for you

FRTB Internal Model Approval for UK CIB Risk Teams

The complete guide to P&L attribution testing, back-testing, and PRA IMA candidacy documentation for market risk professionals.

Your IMA candidacy letter is ready, but the P&L attribution test keeps failing for one or two desks, the PRA has returned a Request for Information on the back-testing methodology, and the desk is sitting on standardised approach capital while the review drags into another quarter.

$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 IMA candidacy is not a one-document submission. The PRA reviews four areas simultaneously: desk-level back-testing and PLAT results, model governance, risk factor coverage, and the candidacy letter structure. A gap in any one area produces an RFI that resets the review clock. Most RISK UK teams have the quantitative capability to run a clean Expected Shortfall calculation, but the candidacy documentation and the remediation response process are where applications stall. The PLAT methodology note needs to explain not just what failed but why the methodology is sound despite the failure. The back-testing exception analysis needs to demonstrate understanding of the zone framework and what supervisory communication is expected at each level. The IMA candidacy assessment letter needs an executive summary that a non-model supervisor can read and endorse before the technical pack is opened. Getting these three documents right in a single submission cycle is what separates a smooth IMA approval from a multi-quarter remediation loop.

What you walk away with

Diagnose a failing PLAT result, identify which positions drive the Spearman or unexplained P&L discrepancy, and produce the methodology note the PRA expects as supporting evidence.
Structure an IMA candidacy assessment letter that covers all four PRA examination areas in a format the relationship team can endorse before submission.
Classify risk factors under the NMRF framework, apply the real-price observation test correctly, and write the NMRF classification policy the PRA reviews at candidacy.
Build a model governance workflow that routes material model changes through an approval process before the next back-testing cycle and documents exceptions in the governance log.
Produce a back-testing exception analysis note that closes a PRA RFI without opening new findings on model governance or risk factor coverage.

The 12 modules

Module 1. The FRTB Market Risk Capital Framework

The Fundamental Review of the Trading Book changes how CIB banks calculate regulatory capital for market risk, replacing VaR with Expected Shortfall and adding the trading book boundary and IMA candidacy requirements. This module covers the UK CRR implementation of FRTB, the PRA supervisory statements relevant to IMA, the capital floor interaction, how IMA candidacy fits within the overall ICAAP framework, and the sequence of approvals a desk must clear before applying for IMA.

Module 2. Trading Desk Structure and IMA Eligibility

Each trading desk applying for IMA must meet eligibility criteria before the candidacy letter can be submitted: a minimum P&L history, documented risk management presence, and clear linkage between risk factors and positions. This module covers the desk-level eligibility assessment process, what the PRA expects in the supporting documentation for each candidate desk, the most common reasons desks are excluded from initial candidacy scope, and how to sequence desk applications when the full book is too large to convert in a single cycle.

Module 3. P&L Attribution Test: Mechanics, Thresholds, and Failure Analysis

The PLAT compares hypothetical P&L from front-office pricing using prior-day risk factors against risk-theoretical P&L from the risk engine. The Spearman correlation and unexplained P&L ratio must pass monthly thresholds or the desk loses IMA eligibility. This module covers how to calculate both statistics correctly, how to diagnose which positions drive a failure, how to write the PLAT methodology note the PRA reviews at candidacy, and which remediation steps bring desks back within bounds before the next calculation window.

Module 4. Back-Testing: Exception Counting, Zone Framework, and PRA Communication

IMA candidacy requires clean back-testing over the most recent 250 trading days. Exceptions, days where actual P&L loss exceeds the VaR-equivalent threshold, fall into three zones with different capital multipliers. This module covers how to count exceptions correctly against the 250-day lookback, the regulatory capital multiplier for each zone, how to write an exception analysis note when the amber or red zone is entered, and what supervisory communication the PRA expects when a desk moves into a higher zone mid-cycle.

Module 5. Non-Modellable Risk Factors: Classification, Observation Test, and Capital Impact

NMRF classification is one of the most consequential modelling decisions in FRTB. Any risk factor failing the real-price observation test (24 real observations in 12 months, no gap over 90 days) receives a Stressed ES capital add-on. This module covers the observation test methodology, how to assess data availability across risk factor classes including rates, credit, equity, and FX, how to write the NMRF classification policy the PRA reviews at candidacy, and how to reduce the NMRF perimeter through improved data sourcing.

Module 6. Expected Shortfall Calculation: Regulatory ES, Liquidity Horizons, and PLAT Inputs

The IMA capital charge uses a 97.5th-percentile Expected Shortfall over five liquidity horizon buckets, replacing the 10-day 99th-percentile VaR. This module covers the regulatory ES formula under UK CRR, how to map positions to the correct liquidity horizon bucket, how to compute the partial ES contributions that feed into the PLAT comparison, and how to document the ES calculation methodology in a format the PRA model governance review team can follow without requiring a quant to interpret each section.

Module 7. IMA Candidacy Assessment: The Four PRA Examination Areas

The PRA's initial review of an IMA candidacy application focuses on four areas: trading desk scope and eligibility, back-testing and PLAT results, model governance, and risk factor coverage. The candidacy assessment document must address all four before the full model approval begins. This module covers the structure of a candidacy assessment, what level of evidence each section requires, which gaps most often trigger a Request for Information, and how to pace the initial submission to avoid a second review round.

Module 8. Structuring the PRA Submission: The Candidacy Letter and Supporting Pack

The candidacy letter is supported by a documentation pack that typically includes 15 to 20 annexes covering methodology notes, governance materials, and back-testing datasets. The PRA looks for consistency across the letter, the technical annexes, and the governance documents. This module covers the recommended pack structure, how to cross-reference annexes without version conflicts, how to write an executive summary a non-model supervisor can read independently, and what to include in the cover letter to set the right tone with the PRA relationship manager.

Module 9. Model Governance for IMA: Validation Independence, Change Management, and the Governance Log

Ongoing IMA requires a governance framework that separates model development from model validation, documents every material model change, and routes changes through an approval workflow before implementation. The PRA reviews this governance at candidacy and during ongoing supervision. This module covers how to structure validation team independence, what constitutes a material model change under PRA standards, how to maintain a model inventory that satisfies both internal risk committees and supervisory review, and how to document back-testing failures in the governance log correctly.

Module 10. Handling PRA Requests for Information: Response Structure and Framing

The PRA typically returns one to three Requests for Information during an IMA review. How each response is framed matters as much as the technical content. This module covers the most common RFI topics across the four review areas, how to structure a response that closes the finding without opening new questions on adjacent areas, how to calibrate the level of technical detail for a non-specialist supervisor, and how to use the response letter to advance the review timeline rather than reset it.

Module 11. The Standardised Approach: Desk-Level SA Comparison and Mixed-Model Portfolio Management

Even approved IMA desks must calculate the SA capital charge in parallel and remain above the regulatory output floor. For desks where IMA and SA capital are close, the governance overhead of maintaining IMA candidacy may not justify the benefit. This module covers how to run the desk-level SA versus IMA capital comparison, how to document the decision to keep a desk on SA rather than pursue IMA, and how to manage the mixed-model portfolio in the regulatory reporting pack submitted to the PRA.

Module 12. IMA Post-Approval: Daily Operations, COREP Reporting, and the Annual Model Review Cycle

IMA approval begins the ongoing operational obligation. Post-approval, the bank must maintain daily PLAT and back-testing calculations, file COREP market risk reporting templates, and notify the PRA of material model changes before go-live. This module covers the daily operational workflow for an IMA-approved desk, the data quality controls that prevent PLAT or back-testing failures from accumulating unnoticed, the specific COREP templates the PRA expects, and the annual model review cycle that supervisors check during the SREP process.

How this addresses your situation

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

Your desk's PLAT result failed the Spearman threshold last month. You need to diagnose which positions are driving the discrepancy, produce a methodology note the PRA will accept, and determine whether repricing alignment or risk factor decomposition changes will resolve it before the next calculation window.

The PRA returned a Request for Information on your back-testing exception analysis. The response must close the finding without triggering a second RFI on model governance or risk factor coverage.

You are preparing the IMA candidacy letter for three desks simultaneously. The pack structure must be consistent across all three, the executive summary must work for a non-model supervisor, and the candidacy assessment must address all four PRA examination areas without a gap.

A material model change is going live next quarter. It needs to clear the internal governance approval workflow and be documented before it affects the next PLAT and back-testing cycle, with the PRA notified within the required timeframe.

What you get with this course

Twelve written modules covering the complete FRTB IMA candidacy process from desk eligibility through post-approval operations.
Downloadable templates: PLAT methodology note, back-testing exception analysis, NMRF classification policy, IMA candidacy letter structure, model governance workflow, and PRA RFI response framework.
Worked examples for each methodology document using realistic rates-desk and credit-desk scenarios.
The hand-built implementation playbook delivered alongside course access, tailored to the specific desks and risk factor classes in your candidacy scope.

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

Course access within 24 hours of purchase.

Tailored implementation playbook delivered alongside course access, covering the specific desk types and risk factor classes in your IMA candidacy scope.

Before and after

Before

After

A clear methodology note for every PLAT scenario, a candidacy letter structure that addresses all four PRA review areas in the first submission, and a governance workflow that routes model changes through approval before the next back-testing window.

What happens if you do not address this

Who it is for

Who this is NOT for. Risk professionals whose IMA framework is already approved across all desks and whose PLAT and back-testing results are consistently clean. This course is for teams preparing an initial candidacy submission, adding desks to an existing IMA scope, or working through a PRA remediation cycle following a candidacy RFI.

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. Twelve modules, designed for completion across three to four working sessions of roughly 90 minutes each. The core PLAT, back-testing, and candidacy letter modules can be completed in the first session and applied to an active candidacy within the same week.

Why $199 is the right number

External consultants specialising in FRTB IMA candidacy typically charge between £1,500 and £3,000 per day and require months to reach the documentation stage. Internal risk training programmes at tier-1 banks cover the Basel framework broadly but not the desk-level PLAT methodology note or PRA candidacy letter structure. This course covers the complete documentation sequence at $199, with the implementation playbook tailored to the specific desks and risk factor classes in your candidacy scope.

FAQ

We already have some IMA-approved desks. Does this apply to desks we are adding to the IMA scope?

Yes. Adding desks to an existing IMA approval requires the same candidacy assessment process, including PLAT compliance, back-testing, and model governance documentation for the new desks. The modules covering the candidacy letter structure and PRA RFI response framing apply directly.

Our Expected Shortfall calculation uses a vendor model. Does that change the PLAT methodology documentation?

Vendor models require additional documentation in the candidacy pack: a vendor model validation report and evidence that the model meets PRA standards for internal use. Module 9 covers the governance workflow for vendor model approval and how to document third-party model reliance in the governance log.

How long does the course take to complete?

The twelve modules are designed for three to four working sessions of roughly 90 minutes each. Most participants in desk-level risk roles complete the PLAT, back-testing, and candidacy modules in the first session and use subsequent sessions for the governance and post-approval operations modules.

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.