Description

A focused course, tailored for you

From FRTB Spec to Production Risk Engine

How market risk developers translate Basel regulatory requirements into validated, auditable production code without failed model reviews.

The FRTB regulatory text is a legal document written for supervisors, not a software specification. Market risk developers at trading desks spend months closing the gap between what Basel says and what a model review will accept, writing methodology notes to justify implementation choices the spec never anticipated.

$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

Implementing FRTB IMA requires building five interdependent systems: a risk factor eligibility classifier, a sensitivities calculation engine, a P&L attribution test, a backtesting pipeline, and a non-modellable risk factor stress calculator. Each is tractable on its own. The difficulty is in the methodology decisions that connect them. Which interpretation of the risk factor mapping rule do you follow when the spec is ambiguous? How do you log that decision so the model validator accepts it three months later? How do you handle instruments at the SA/IMA boundary when the desk-level classification was fixed before the final instrument mix was known? The first model review surfaces those gaps. This course closes them before review begins.

What you walk away with

Build a P&L attribution test that passes IMA model review on the first submission cycle.
Document risk factor eligibility decisions in a methodology note format that model validators accept without additional requests.
Design a sensitivities-based method calculation architecture with a complete audit trail from instrument to capital charge.
Write backtesting exception justifications that satisfy both the risk committee and the external regulator.
Deliver a model validation submission package structured for efficient review with no missing artefacts.
Build a change management workflow that keeps model approval current as the instrument universe evolves.

The 12 modules

Module 1. Reading the FRTB Regulatory Text as a Developer

The Basel FRTB text is written for regulators, not engineers. This module maps the key articles to implementation decisions, identifies the sections that produce interpretation conflicts, and shows how to log those decisions in a format that holds up during model review. Outcome: a structured reading guide and decision log template for the EBA regulatory technical standards, ready to use from the first implementation sprint.

Module 2. SA-TB vs IMA: Desk Classification and Documentation

Not every trading desk qualifies for IMA approval. This module covers the criteria for desk-level IMA eligibility, how to classify instruments that sit at the boundary between SA-TB and IMA treatment, and how to document the classification decision. Outcome: a desk-by-desk eligibility matrix with the justification trail a model validator expects to see on day one of the approval review process.

Module 3. Risk Factor Eligibility: Building the Mapping Methodology Note

The risk factor eligibility criteria determine which factors enter the IMA model and which are treated as non-modellable. This module covers how to map the instrument-to-risk-factor relationship, how to handle cases where the regulatory definition is ambiguous, and how to write a methodology note that documents the mapping logic in a format regulators and model validators accept without further documentation requests.

Module 4. Sensitivities-Based Method: Calculation Architecture

The SBM requires delta, vega, and curvature sensitivities across six risk classes. This module covers how to architect the calculation pipeline for each class, how to handle correlation aggregation across buckets and risk classes, and where the most common implementation errors appear in practice. Includes a worked example for an FX options portfolio with cross-gamma exposures and the full aggregation path to the final SBM capital charge.

Module 5. P&L Attribution Test: Design, Implementation, and Assumption Logging

The PLAT requires the hypothetical P&L from the risk model to track closely with the actual P&L from the front office. This module covers how to design the test, how to handle the discretionary netting and layering choices, and how to log daily attribution results in a format the model review team can interrogate. Includes Spearman and Kolmogorov-Smirnov test implementation and the assumption log template.

Module 6. Backtesting: Exception Classification and Justification Memos

FRTB IMA requires daily backtesting against both actual and hypothetical P&L. This module covers exception classification under the traffic-light approach, how to write justification memos for exceptions not caused by model deficiency, and how to build a rolling exception log that satisfies both the risk committee and the external auditor. Includes the justification memo template structure and an exception classification decision tree.

Module 7. Non-Modellable Risk Factors: Identification and Stress Calibration

Risk factors without sufficient real price observations become NMRF and require separate stress scenarios. This module covers how to identify NMRF in your instrument universe, how to implement the stressed expected shortfall calculation for each factor, how to aggregate NMRF capital into the total charge, and how to build the data observation log that determines modellability status on a rolling quarterly basis.

Module 8. Aggregation and Capital Floor Calculation

The FRTB capital calculation requires aggregating IMA desk results, adding NMRF capital, applying the SA capital floor at entity level, and producing the final charge. This module covers the aggregation hierarchy, how to handle mixed IMA and SA desks within the same legal entity, and how to implement the output interface that feeds the daily regulatory reporting pipeline with a complete reconciliation trail.

Module 9. Model Validation Submission Package: Structure and Evidence

A model validation requires more than working code. This module covers the structure of the submission package: the model documentation, the independent testing evidence, the limitation register, and the ongoing monitoring plan. Includes a checklist of artefacts that consistently cause re-submission requests when missing, and a template for the model risk assessment that validators complete as part of the formal approval process.

Module 10. Regulatory Reporting Integration: COREP and Output Tables

The FRTB capital charge flows into COREP C17 and related prudential reporting templates. This module covers how to map calculation outputs to the reporting tables, how to build the reconciliation trail from the risk engine to the regulatory submission, and how to handle restatements when calculation methodology is updated following a model review finding or a change to the regulatory technical standards.

Module 11. Production Hardening: Reconciliation Controls and Audit Trail

A risk engine that passes model review on day one must remain compliant as the instrument universe changes and the market evolves. This module covers the reconciliation controls that detect calculation drift, the tolerance thresholds that trigger investigation, the daily health-check script structure, and the audit trail requirements that allow the team to replay any historical calculation during a regulatory examination or internal audit.

Module 12. Model Governance: Change Management for Live Risk Engines

Every change to a live FRTB model, whether a new instrument type, a recalibrated correlation, or an updated methodology, is a potential model change requiring governance sign-off. This module covers how to classify changes as material or immaterial, how to document the impact assessment, and how to build the change management workflow that keeps the model approval current without triggering a full re-validation cycle for minor adjustments.

How this addresses your situation

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

Your P&L attribution test is flagging exceptions on a desk where the risk model output looks correct to the internal team: Module 5 covers the PLAT design document and assumption logging, and Module 6 covers the exception justification memo structure the model validator needs to close the finding without escalation.

Model review returned your submission with a request for more documentation on how risk factors were classified as modellable: Module 3 covers the risk factor mapping methodology note, and Module 9 covers the artefact checklist for the full validation submission package.

Your NMRF identification is generating a capital charge that feels disproportionate and the team disagrees on which factors are genuinely non-modellable: Module 7 covers the data observation log that determines modellability status on a rolling basis and the stressed expected shortfall calibration that drives the capital number.

The entity-level capital floor calculation requires combining IMA desk results with SA desk results and the output is not reconciling to the COREP template: Module 8 covers the aggregation hierarchy and output interface, and Module 10 covers the reporting integration and reconciliation trail.

What you get with this course

12 written modules covering FRTB IMA implementation from risk factor eligibility classification to model validation submission.
Downloadable templates: risk factor mapping methodology note, PLAT design document with assumption log, backtesting exception justification memo, model validation submission artefact checklist, and change management classification workflow.
Worked examples for sensitivities-based method calculations across equity, rates, FX, credit, and commodity risk classes.
The hand-built implementation playbook tailored to your specific instrument universe and desk configuration, delivered alongside course access.

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

Course access and the hand-built implementation playbook arrive together within 24 hours of purchase.

All 12 modules are available immediately and self-paced. Most developers work through one or two modules alongside an active implementation sprint, returning to the reference templates during model review and re-submission cycles.

Before and after

Before

Methodology decisions are documented informally or not at all, model review submissions require multiple rounds because validators return requests for documentation that should have been produced during implementation, and the team has no standard template for handling instruments the spec did not clearly address.

After

Every implementation decision has a logged justification in a format model validators accept. The P&L attribution test design, backtesting exception log, and NMRF identification methodology are complete before the model review begins. Model changes go through a classification workflow that keeps approval current without triggering unnecessary full re-validations.

What happens if you do not address this

FRTB model review failures at the desk level default the desk to the standardised approach, which carries a materially higher capital charge. The regulatory timeline is fixed. Firms that submit incomplete model documentation face re-submission delays while the capital charge runs at SA rates, and the window to correct the implementation without affecting the next reporting cycle shrinks with each round.

Who it is for

Market risk software developers and quantitative developers at investment banks, fund managers, and broker-dealers who are building or maintaining FRTB-compliant capital calculation systems. You understand the regulatory structure and you can write the code. The gap is in the methodology documentation and the model governance process that turns working code into a model review-ready product.

Who this is NOT for. Compliance officers who need a regulatory overview of FRTB requirements. Risk managers seeking a conceptual understanding of the framework. Developers at firms where FRTB implementation is fully handled by a vendor system with no internal build or customisation requirement.

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 at your own pace. Most developers work through one or two modules alongside an active implementation sprint, returning to the reference templates during review and re-submission cycles.

Why $199 is the right number

The Basel regulatory guidance is written for supervisors, not developers. Industry forums provide discussion but no structured implementation methodology. Hiring a specialist consultant for FRTB implementation review costs tens of thousands of dollars and requires weeks of scheduling. This course provides the methodology documentation templates, worked examples, and implementation sequence a developer needs to build it correctly the first time, at $199.

FAQ

Is this relevant to the Standardised Approach (SA-TB) as well as IMA?

Yes. Module 2 covers the SA-TB versus IMA boundary classification decision, which is a prerequisite for IMA implementation. SA-TB developers will find Modules 2, 8, and 10 directly applicable even if the desk is not pursuing IMA approval.

Does this cover FRTB implementation in APAC jurisdictions?

The course covers the Basel Committee framework, which is the basis for all national implementations including APRA's schedule for authorised deposit-taking institutions. Jurisdiction-specific interpretation differences are flagged in the relevant modules.

Is a quantitative finance background required?

The course assumes you can read regulatory text and understand sensitivities at a conceptual level. It does not teach derivatives pricing or risk factor modelling from first principles. It covers the implementation methodology for developers who already understand the risk concepts and need a structured approach to the documentation and governance requirements.

Will this help specifically with model validation submissions?

Module 9 is dedicated to the model validation submission package structure, including the artefact checklist and the model risk assessment template. Modules 3, 5, 6, and 7 each include documentation templates that feed directly into the validation submission package.

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.