Description

A focused course, tailored for you

FRTB Risk Analyst Execution Playbook

Build the SBM sensitivities, pass the P&L attribution test, and produce a defensible IMA approval package your desk can actually submit.

The Basel FRTB text runs to 120 pages. The part that tells you exactly how to map your rates-desk delta sensitivities to the prescribed risk factors, then aggregate them into the SBM capital charge without triggering a P&L attribution failure, is not 120 pages. It is four pages of notation, and every bank's quant team reads it differently. This course resolves the implementation ambiguity that is burning analyst hours across every trading-book risk function right now.

$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

Risk analysts working on FRTB delivery sit at the intersection of three teams who each think the problem belongs to someone else: the quant desk thinks it is a reporting problem, the regulatory capital team thinks it is a modelling problem, and the IT function thinks it is a data feed problem. The analyst in the middle is the one who has to reconcile the hypothetical P&L against risk-theoretical P&L at desk level, explain the divergence to the front office, and produce an IMA eligibility package that the regulator will actually engage with. None of that is covered by the standard FRTB training market. It is covered here.

What you walk away with

Build a correct delta sensitivity calculation for a multi-asset trading desk under the SBM bucketing rules without relying on a vendor tool to explain the output.
Run the P&L attribution test at desk level, identify the source of hypothetical-to-risk-theoretical divergence, and document the remediation for the risk committee.
Produce an IMA eligibility self-assessment that maps desk structure, risk factor coverage, and back-test results to the regulatory threshold criteria.
Assemble a pre-approval submission package that addresses the specific documentation requests ECB and PRA examiners have been issuing on FRTB IMA applications.
Explain the FRTB capital impact to a non-technical desk head using a one-page summary that names the three levers the desk actually controls.

The 12 modules

Module 1. What the Basel FRTB Text Actually Requires vs What Gets Built

A structured read-through of the four core calculation articles in the Basel FRTB standard, mapped against the most common implementation gaps seen in ECB review letters. Covers the difference between what the text says about risk factor definitions and what banks typically operationalise, with a worked annotated extract analysts can use as a reference during their own implementation review.

Module 2. Delta Sensitivity Calculation: Rates and Credit Spread Desks

Step-by-step construction of delta sensitivities for a rates trading desk under the prescribed risk factor bucketing: tenor buckets, currency segregation, and the optionality treatment for swaptions. Includes a worked example for a mixed EUR/USD rates book and a downloadable delta sensitivity template with the aggregation formula pre-built so analysts can drop in their desk's position data.

Module 3. Vega and Curvature: Where Most SBM Packages Break

Vega sensitivity calculation for FX, rates, and equity options under the FRTB prescribed shock sizes. Covers the curvature add-on mechanics, the correlation scenario aggregation (high/medium/low), and the specific edge cases that cause curvature results to diverge from what the desk risk system reports. Includes a reconciliation checklist analysts can use before submitting SBM numbers to the capital team.

Module 4. SBM Capital Charge Aggregation: From Desk to Legal Entity

How to aggregate SBM charges from desk level up to legal entity for regulatory reporting, including the treatment of cross-desk hedges, the correlation aggregation across risk classes, and the fall-back to the residual risk add-on for instruments not captured by the standard risk factors. Downloadable aggregation workbook with the Basel-prescribed correlation matrix pre-populated.

Module 5. P&L Attribution Test: Mechanics and Common Failure Modes

Detailed walkthrough of the PLAT methodology: the construction of the hypothetical P&L series from the risk system, the construction of the risk-theoretical P&L, the Spearman correlation and Kolmogorov-Smirnov test thresholds, and the amber-zone remediation pathway. Covers the five most common causes of amber PLAT results and the documentation required to argue a temporary waiver with the regulator while remediation is in progress.

Module 6. Back-Testing the IMA: VaR Exceedance Counts and the Traffic-Light System

How the 250-day back-test window works for IMA approval, what counts as an exceedance, and how to calculate the add-on multiplier from the traffic-light zone. Covers the internal governance requirements for a back-test breach: the written explanation to senior risk management, the root cause classification (model error vs market conditions vs data), and the audit trail format that satisfies ECB examination.

Module 7. IMA Eligibility Self-Assessment: Desk Structure and Risk Factor Coverage

How to map your trading desk structure to the IMA eligibility criteria, assess risk factor modellability using the RFET (Risk Factor Eligibility Test) against observed price data, and document the NMRFs (non-modellable risk factors) that will require the stressed expected shortfall add-on. Includes a downloadable IMA eligibility matrix that lists every criterion from the EBA RTS with a Yes/No/Partial column and an evidence column.

Module 8. RFET: Proving Risk Factor Modellability to the Regulator

Detailed implementation of the Risk Factor Eligibility Test: the 24-observation threshold, the real-price observation definition, the bucketing of observations into the 12-month window, and the treatment of illiquid instruments where vendor price feeds do not meet the threshold. Covers how to build the RFET evidence file that the ECB asks for in pre-approval review and what happens when a previously modellable risk factor falls below threshold mid-year.

Module 9. IMA Pre-Approval Package: Structure and Examiner Priorities

A section-by-section walkthrough of the IMA pre-approval package that ECB and PRA examiners are currently requesting from trading-book banks. Covers the model governance chapter (validation framework, annual review cycle, independent review sign-off), the desk-level documentation chapter (approved desk boundaries, risk factor inventory, PLAT results), and the capital impact chapter (SBM vs IMA comparison, FRTB output floor interaction). Includes a downloadable package outline template.

Module 10. The Output Floor: How It Changes the Capital Comparison

How the 72.5% output floor interacts with IMA results in practice: when the SBM-based standardised charge becomes the binding constraint regardless of the IMA number, which desks are most likely to be floor-bound, and how to present the floor impact to the desk head and CFO in a way that explains why a lower VaR does not always translate to a lower capital requirement. Downloadable floor calculation worksheet.

Module 11. Communicating FRTB Results to Non-Technical Stakeholders

How to produce a one-page FRTB capital summary for a desk head or business CFO that names the three levers the desk controls (risk factor scope, hedging efficiency, PLAT quality), quantifies the capital difference between current SBM-only and target IMA treatment, and flags the timeline dependencies on the IMA pre-approval process. Includes a one-page template with the five numbers that matter to a non-technical senior leader.

Module 12. Building Your Own FRTB Implementation Workplan

How to translate the course content into a workplan for your specific desk and entity: the sequencing of SBM calculation build, PLAT remediation, RFET evidence collection, and IMA package assembly. Covers how to size the analyst effort required for each phase, how to flag dependencies on quant, IT, and front office, and how to structure the progress update to the CRO or regulatory capital committee. Downloadable workplan template with a 20-week phased timeline.

How this addresses your situation

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

P&L attribution test returning amber on a rates desk: Modules 5 and 6 walk the calculation, identify the divergence source, and produce the regulator-facing explanation.

SBM capital charge not reconciling between risk system and reporting team: Modules 2, 3, and 4 rebuild the calculation from delta sensitivities up and include the aggregation workbook.

IMA pre-approval submission being prepared for ECB review: Modules 7, 8, and 9 produce the eligibility self-assessment, RFET evidence file, and package structure the examiner is asking for.

Desk head asking why the FRTB number went up despite lower VaR: Modules 10 and 11 cover the output floor interaction and the one-page non-technical summary.

What you get with this course

12 written modules covering SBM calculation, PLAT mechanics, IMA eligibility assessment, and ECB pre-approval package structure
Downloadable delta sensitivity template with pre-built aggregation formula for a multi-asset desk
PLAT reconciliation checklist covering the five most common amber-zone failure modes
IMA eligibility matrix with every EBA RTS criterion, evidence column, and Yes/No/Partial flag
RFET evidence file template structured to match current ECB examination requests
IMA pre-approval package outline template covering model governance, desk documentation, and capital impact chapters
Output floor calculation worksheet with SBM vs IMA comparison
20-week FRTB implementation workplan template with effort sizing by phase
Hand-built implementation playbook delivered alongside course access, tailored to your desk type and entity size

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

Course access and the hand-built implementation playbook are both delivered within 24 hours of purchase.

The implementation playbook is built for your specific desk type and entity size, not a generic template.

Modules are self-paced and designed to be worked through in the order that matches your current implementation priority.

Before and after

Before

P&L attribution results are amber, the SBM number does not reconcile with the risk system, the IMA eligibility self-assessment is a draft with three open columns, and the ECB pre-approval timeline is slipping because the package structure does not match what the examiner asked for.

After

You can rebuild the SBM calculation from sensitivities to capital charge with a reconcilable workbook, diagnose and document a PLAT divergence, produce an IMA eligibility matrix that satisfies the EBA RTS criteria, and assemble the pre-approval package in the format the ECB examination team is currently requesting.

What happens if you do not address this

FRTB CRR3 reporting obligations are live for EU banks. Every quarter the SBM calculation runs with unresolved errors is a quarter of regulatory capital figures the risk committee is approving without confidence in the methodology. The IMA pre-approval window narrows as other banks complete their submissions and ECB examiner capacity fills. Analysts who can execute the full calculation chain from sensitivities to approval package are the ones being asked to lead the next desk scope expansion.

Who it is for

Risk analysts and senior analysts in market risk, regulatory capital, or model risk at banks with material trading books. Specifically: analysts building or validating the SBM sensitivities calculation, analysts preparing or reviewing P&L attribution test workbooks, and analysts assembling the internal model approach eligibility documentation for ECB or PRA pre-approval submission.

Who this is NOT for. Risk analysts focused exclusively on credit or operational risk with no exposure to the trading book. Quant researchers building pricing models from scratch. Compliance officers managing conduct or financial crime risk. Anyone whose bank uses only the simplified alternative approach and has no IMA ambition.

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. Most analysts work through two to three modules per session. The downloadable templates are designed to be used during implementation, not just read once and filed.

Why $199 is the right number

The public FRTB training market offers Basel text summaries and high-level overview courses. None of them build the SBM calculation from sensitivities, walk the PLAT test at desk level, or produce the IMA pre-approval package structure that matches current ECB examination requests. Internal bank training is either too generic (enterprise risk framework) or too narrow (one quant team's proprietary model). This course covers the analyst execution layer that sits between the two.

FAQ

Does this cover the simplified alternative approach or only the full SBM and IMA?

The course focuses on the full sensitivities-based method and internal model approach. If your bank uses only the simplified alternative approach and has no IMA ambition, most of the SBM and IMA content will not be immediately applicable. The output floor and PLAT modules remain relevant regardless of approach.

Is the content specific to any particular jurisdiction?

The calculation mechanics follow the Basel FRTB standard directly, which is the foundation for both the EU CRR3 implementation and the UK PRA FRTB rules. Modules 9 specifically covers ECB and PRA pre-approval package requirements. US FRTB implementation timelines and package requirements are not the primary focus.

What level of quant background is assumed?

The course assumes you can read a sensitivity definition and understand what a delta or vega means in the context of an options book. It does not require the ability to build pricing models from scratch. The target analyst is someone who works with risk system outputs and needs to understand, validate, and document the FRTB calculation chain.

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.