Description

A focused course, tailored for you

FRTB IMA Governance for Trading Risk Teams

Build the P&L attribution testing, RFETS documentation, and model governance stack your IMA application requires.

The question that decides a trading desk's IMA eligibility is whether the testing infrastructure can survive a model reviewer's inspection. The P&L attribution test results, the RFETS failure documentation, the back-testing exception logs, and the model governance committee minutes are the evidence. When those artefacts are incomplete or scattered across systems, the model committee discussion becomes the gap analysis the supervisor was going to run anyway.

$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

Trading risk governance operates on two calendars simultaneously. The internal calendar tracks model committee meetings, validation schedules, and capital reporting cycles. The regulatory calendar tracks TRIM visits, SREP cycles, and IMA model approval windows. The skill this course builds is aligning those two calendars through governance artefacts, not spreadsheets. P&L attribution testing is not a number to report; it is a structured evidence package that tells the supervisor the desk is monitoring its own model performance and has a documented response when something goes amber. RFETS documentation is not a list of pass and fail results; it is the audit trail that explains why each risk factor is classified as modellable and what the monitoring frequency is. When those artefacts exist and are current, model review visits change character. The reviewer examines edge cases rather than requesting documents that should already exist.

What you walk away with

Design P&L attribution test protocols at the desk level and write the remediation plan format ECB and PRA model reviewers expect to see when a result comes in amber.
Build the RFETS documentation pipeline so that modellable versus non-modellable decisions have an audit trail rather than a verbal justification.
Structure back-testing exception logs so that exceptions are classified, explained, and tracked through a governance process rather than accumulated in a spreadsheet.
Write the IMA application dossier: model scope document, risk factor inventory, validation report, and ongoing monitoring evidence pack.
Design the model committee agenda and terms of reference so that desk-level test results reach senior governance before regulators ask about them.

The 12 modules

Module 1. FRTB IMA Eligibility: The Desk-Level Decision Framework

How to assess which trading desks are candidates for the Internal Models Approach and which should use the Standardised Approach. Covers the eligibility criteria from CRR3, the risk factor classification process at desk level, and the governance artefact that records the eligibility decision and the rationale before a model application begins. Includes a desk assessment template with the criteria regulators evaluate during a TRIM review.

Module 2. Risk Factor Eligibility Tests: Building the Documentation Pipeline

The methodology behind modellable versus non-modellable risk factor classification: data quality thresholds, observation frequency requirements, and the aggregation rules that apply when observations are sparse. Covers how to build the monthly RFETS testing pipeline, how to document the results in a format model reviewers can audit, and the most common failure modes including price observation gaps and representative transaction data issues. Includes the RFETS monitoring dashboard template.

Module 3. P&L Attribution Testing: Design, Calibration, and Exception Handling

The two P&L attribution tests required under FRTB and how to calibrate the thresholds at the desk level. Covers what constitutes green, amber, and red results, the written remediation plan format ECB and PRA model review teams expect when a desk hits amber, and how to maintain the exception log in a way that demonstrates active governance rather than passive tracking. Includes the remediation plan template and the exception log format.

Module 4. Back-Testing: Exception Classification and the Governance Response

Moving beyond counting exceptions to building a structured classification system that distinguishes general from specific back-testing exceptions and provides explanations that satisfy regulators. Covers the model committee agenda format for reporting exceptions, the action-tracking template that shows supervisors exceptions are being managed rather than accumulated, and the escalation criteria that determine when exception trends require a formal governance response rather than a routine quarterly note.

Module 5. Model Documentation: Building the IMA Application Dossier

The contents of an IMA model approval application mapped to the specific CRR3 articles each artefact satisfies. Covers the model scope document, risk factor inventory, validation report structure, evidence of ongoing monitoring, and the consistency check between internal management reporting and the application submission. Includes a documentation checklist organised by the sequence in which ECB and PRA model reviewers typically examine artefacts during a pre-application meeting.

Module 6. Regulatory Dialogue: Managing the Model Review Process

How to structure the ongoing dialogue with supervisors during a TRIM visit or model review. Covers the meeting pack format that presents evidence proactively rather than reactively, the action-point tracker that shows regulators follow-through on prior commitments, and the escalation path for formal disagreements with a model review finding without damaging the working relationship. Includes the model review meeting pack template used for ECB pre-application meetings.

Module 7. Non-Modellable Risk Factors: Stress Scenarios and Capital Add-Ons

How to calculate and document the capital add-on for risk factors that fail RFETS and are classified as non-modellable. Covers the stress scenario methodology, the aggregation approach when multiple NMRFs contribute to the same risk category, and the quarterly governance review process that ensures NMRF capital numbers are actively monitored rather than treated as a static add-on. Includes the NMRF stress scenario calculation template and the quarterly review format.

Module 8. Internal Validation: Building the Independent Review Framework

What the validation function must produce for an IMA application: the validation plan, model risk assessment, residual risk finding, and validation conclusion letter. Covers the independence requirements between the model development team and the validation function, the common findings that delay first-time IMA applications, and how to structure the validation evidence so it answers the questions a TRIM review will ask before those questions arrive.

Module 9. Capital Reporting: From Model Output to Regulatory Disclosure

The journey from Expected Shortfall model output to Pillar 1 capital number to Pillar 3 public disclosure. Covers the capital attribution methodology at the desk level, the aggregation from desk to bank level, the consistency check between internal risk reporting and regulatory capital submissions, and the documentation that demonstrates the numbers are reconciled and the methodology is approved. Includes the capital attribution reporting template and the Pillar 3 disclosure checklist.

Module 10. Governance Committees: Model Committee and Risk Committee Design

How to design the model committee terms of reference, the risk committee reporting pack, and the escalation path from desk-level test results to senior governance. Covers the documentation standards regulators expect to see during a TRIM review of the governance framework, the frequency and quorum requirements for model committee meetings, and how to structure committee minutes so that decision rationales are clear to a model reviewer reading them months later.

Module 11. IMA-SA Boundary Management: Monitoring and Switching Decisions

How to manage desks that are borderline IMA-eligible: the monitoring dashboard, the early-warning indicators that trigger a governance review, and the structured decision process for moving a desk from IMA to SA before regulators require it. Covers the capital impact analysis format that informs the switching decision, the model committee documentation required to record the decision, and the regulator notification process once a desk moves between approaches.

Module 12. Implementation Roadmap: From Governance Gap to IMA Application

Building the programme plan that takes a trading risk function from a current-state governance assessment through to a completed model approval application. Covers sequencing the remediation work to address the gaps TRIM reviews most frequently identify, the milestone governance structure that ensures senior sign-off at each phase, and the internal approval process before submission to the supervisor. Includes the implementation roadmap template and the governance gate checklist.

How this addresses your situation

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

Your back-testing exception log shows three yellow zone exceptions this quarter and the model committee wants to know whether the next one triggers a formal governance review or just gets added to the count.

The RFETS run flagged eight risk factors as non-modellable because the price observation data did not meet the 24-observation-per-year threshold. The desk wants to know whether to challenge the data source or document the NMRF capital add-on and move on.

A TRIM pre-inspection questionnaire arrived requesting P&L attribution test results for the last eight quarters alongside the remediation documentation for any amber results. The documentation does not exist in the format requested.

The model committee approved the IMA application submission three months ago but the regulator has not yet issued the formal permission letter. The follow-up process is unclear and the action-point tracker has not been updated since submission.

What you get with this course

12 written modules covering the full FRTB IMA governance stack from RFETS and P&L attribution testing through IMA application documentation and ongoing model monitoring.
Downloadable templates for every artefact covered: P&L attribution test protocol, RFETS monitoring dashboard, back-testing exception log, model committee agenda format, IMA application dossier structure, NMRF stress scenario template, validation conclusion letter, and regulatory dialogue meeting pack.
Hand-built implementation playbook: a sequenced roadmap from current-state governance assessment through IMA application submission, tailored to the regulatory jurisdiction of the recipient's function.
Access within 24 hours of purchase.
30-day money-back guarantee.

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

Access within 24 hours of purchase.

Implementation playbook delivered alongside course access.

Templates available for download from module 1.

Before and after

Before

P&L attribution test results arrive as a number and a colour. The amber result triggers a governance conversation nobody prepared for, model documentation is scattered across three systems, and the remediation plan gets written from scratch under time pressure.

After

The amber result triggers a pre-written remediation protocol. RFETS failures have a documented escalation path. IMA application documentation lives in one structured dossier. The next model review visit has a prepared evidence pack rather than a last-minute scramble.

What happens if you do not address this

The IMA model approval window is not indefinite. Each quarter of deferred governance work is a quarter of capital add-ons under SA that IMA would have avoided. A model review visit to a function whose P&L attribution test documentation and RFETS monitoring are incomplete produces findings that delay the IMA application by six to twelve months. The remediation cost is the consultant fees and the foregone capital benefit, not the course price.

Who it is for

This course is for trading risk professionals who own part of the IMA governance stack. That could be the RFETS run and documentation, the P&L attribution test results analysis, the back-testing exception log, the model validation function, the model committee secretariat, or the IMA application programme. The course is not a regulatory explainer. It assumes the recipient has read the CRR3 text and attended the regulatory briefings. What it builds is the practical governance and documentation skill that turns regulatory knowledge into artefacts a model reviewer can inspect.

Who this is NOT for. Traders who have no involvement in model governance documentation. Market risk analysts whose role is limited to running daily risk numbers rather than managing the model approval and regulatory reporting cycle. Compliance or legal teams looking for a high-level FRTB overview rather than implementation guidance on the governance and testing infrastructure.

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. 12 modules, approximately 30 to 45 minutes each. Most practitioners work through the modules relevant to their immediate governance gap first, then the full sequence over four to six weeks.

Why $199 is the right number

Regulatory training firms offer one-day FRTB workshops at $2,000-$5,000 per seat. They cover the regulatory text well. They do not build the governance artefacts. External consultants who have run IMA applications charge $15,000-$50,000 for a governance framework build. This course delivers the methodology and the templates for $199, with a hand-built implementation playbook that reflects the recipient's specific regulatory context.

FAQ

Does this cover both ECB and PRA requirements?

Yes. The governance artefacts covered are those that ECB model review teams and PRA model reviewers both examine. Where the two regulators have different documentation expectations, the course notes both versions.

Is this relevant if our function is already in IMA and managing ongoing compliance rather than applying for the first time?

Yes. The P&L attribution testing, RFETS monitoring, back-testing exception handling, and model committee governance modules are equally relevant for ongoing IMA compliance as for an initial application. Several practitioners have used the material to upgrade existing processes rather than build from scratch.

What does the implementation playbook cover that the course modules do not?

The implementation playbook is specific to the recipient's regulatory jurisdiction and function scope. It sequences the remediation work, identifies which governance gaps to close first based on the typical TRIM review focus areas for that regulator, and provides a milestone governance structure for the application programme.

How is this different from reading the CRR3 text and the EBA regulatory technical standards?

The regulatory text tells you what is required. This course builds the artefacts that demonstrate you have done it. The gap between knowing the rule and having documentation a supervisor can inspect is where most IMA applications are delayed.

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.