Description

A focused course, tailored for you

Market Risk Analytics Under FRTB

Build the desk eligibility, PLAT, and SA sensitivity skills your next APRA submission will test.

The PLAT result for the structured rates desk sits at 2.4% hourly RMSE, trending toward the IMA eligibility threshold. The quarterly APRA review is six weeks out, and the conversation with the CRO needs more than a model output. It needs a desk eligibility story, a remediation path if the threshold breaks, and a SA fallback capital number that trading management can accept.

$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 desk eligibility is not a single event. It is a continuous monitoring problem: PLAT results drift as model approximations accumulate, risk factor modellability assessments need refreshing as market data sets change, and back-testing traffic light scores have to stay green quarter after quarter. SA is always available as a fallback but at a capital cost that trading management does not want to absorb. The analyst in the middle has to translate model output into a desk-level decision that the CRO, the trading head, and APRA can all accept. That translation is the hardest part, and it is rarely taught directly.

What you walk away with

Run a full PLAT cycle for a trading desk and interpret the hourly RMSE and daily RMSE results against IMA threshold boundaries.
Build a Risk Factor Eligibility Test assessment for a named set of risk factors and document modellability status for APRA.
Construct the SA sensitivity vectors for a mixed rates and FX trading portfolio and aggregate to a capital charge.
Produce a back-testing traffic light report with remediation options for a desk that trips the amber or red threshold.
Frame IMA vs SA capital charge comparisons for a risk committee in a format that supports a business decision.
Build a desk eligibility monitoring schedule that flags drift before it reaches the regulatory submission window.

The 12 modules

Module 1. FRTB Architecture and the IMA-SA Decision

The course opens with the full regulatory architecture of FRTB: what changed from Basel 2.5, why the trading book boundary was redrawn, and how the IMA-SA fork creates a capital cost differential that determines desk prioritisation. This module maps the decision logic a bank uses to allocate the IMA eligibility effort, including portfolio size, product complexity, and available market data. You leave with a desk prioritisation framework you can apply to your own book.

Module 2. P&L Attribution Test Mechanics

PLAT is the core eligibility gate for IMA. You build the theoretical P&L from sensitivity vectors and risk factor returns, then compare it to the hypothetical P&L from full revaluation. The hourly RMSE, daily RMSE, and the Spearman correlation thresholds are worked through with a rates portfolio example. The module covers common PLAT failure causes, including risk factor granularity gaps, model approximations, and data latency, and the diagnostic steps to narrow down the cause before the next quarterly assessment.

Module 3. Risk Factor Eligibility Testing

The Risk Factor Eligibility Test determines whether a risk factor has enough real price observations to be classified as modellable. This module walks through the RFET counting methodology: the 24-observation threshold, what counts as a real price, how to handle sparse data for less-liquid instruments, and how to document the assessment. You build the RFET tracker for a rates and equity derivatives portfolio and structure the evidence file that APRA reviewers will examine during an IMA approval.

Module 4. SA Sensitivity Vectors for a Mixed Portfolio

The Standardised Approach requires sensitivity-based method inputs: delta, vega, and curvature sensitivities bucketed by risk class. This module goes through the calculation for a portfolio spanning interest rate, FX, and equity risk factors. You build the bucket allocation logic, apply the prescribed correlations from the FRTB SA text, and aggregate to a capital charge. The module shows how SA functions as a fallback floor when desks lose IMA eligibility, with a direct comparison to the IMA expected shortfall output.

Module 5. Expected Shortfall Calculation Under IMA

This module builds the IMA Expected Shortfall number from inputs to output. You work through the base ES at a 97.5% confidence level over a 10-business-day horizon, the reduced set ES for the stress period, and how liquidity horizons modify the calculation for different risk factor categories. A worked rates derivatives example shows how the components aggregate, giving you the quantitative basis for the IMA vs SA business case at desk level.

Module 6. Back-Testing Under IMA: Traffic Light Scoring

IMA back-testing compares daily VaR and ES forecasts to actual and hypothetical P&L outcomes over a rolling 250-day window. This module explains the traffic light zones, what each exception count triggers in terms of capital surcharge or IMA disqualification, and how to produce the APRA-required outputs on schedule. You work through exception attribution: model error, market data gaps, and genuine tail events are documented differently, and the module shows how to structure each category for the regulatory file.

Module 7. Stress Scenario Construction for APRA Requirements

APRA's stress testing requirements for market risk go beyond the FRTB regulatory stress period ES. This module covers historical scenarios including GFC, COVID drawdown, and rates shock, hypothetical scenarios specific to the portfolio such as a concurrent AUD/USD move and RBA rate pivot, and reverse stress tests that identify the market move that would exhaust the desk's risk appetite. You build a scenario inventory template and a results summary structured for the board risk committee.

Module 8. Capital Charge Comparison and Business Case Construction

When a desk risks losing IMA eligibility, trading management needs a capital cost comparison that frames the SA fallback in RWA and P&L terms. This module walks through the comparison: IMA ES capital charge vs SA SBM capital charge for the same desk, expressed as RWA and as an estimated P&L drag on the desk's contribution margin. You leave with a capital impact memo template for the trading head and CRO when an eligibility review is triggered.

Module 9. Risk Factor Modellability Assessment Documentation

The modellability assessment is not just a calculation output, it is a regulatory evidence file. This module covers how to structure it: the RFET observation count table, data source evidence for each real price, the treatment of proxies and interpolation for sparse tenors, and the sign-off workflow between risk and data teams. You build a modellability assessment pack template for a rates risk factor set at the detail level APRA examiners expect during an IMA model review.

Module 10. CRO Reporting: Translating Model Output to Business Language

The CRO pack for market risk under FRTB needs to carry PLAT status, back-testing scores, and IMA vs SA desk eligibility in a format a senior executive can act on. This module shows how to structure the one-page desk eligibility dashboard, the traffic light summary for back-testing exceptions, and the narrative that connects a PLAT result to a business decision, using a mixed rates and equity derivatives book with two desks in different eligibility states as the worked example.

Module 11. Desk Eligibility Monitoring and Remediation Workflow

Maintaining IMA eligibility between APRA reviews requires a monitoring rhythm: PLAT results tracked weekly, RFET counts refreshed as market data vintages roll, back-testing exceptions watched against the amber threshold with enough lead time to intervene. This module builds the monitoring calendar and remediation decision tree: what triggers analyst escalation, what triggers a formal desk review, and when the conversation shifts from remediation to planning an SA fallback. You leave with a monitoring schedule template calibrated to a quarterly APRA cycle.

Module 12. Regulatory Submission Package for APRA

The final module assembles the full IMA submission package as APRA expects: the desk eligibility table with RFET and PLAT status, back-testing results with exception attribution, the modellability assessment evidence, and the internal governance sign-off chain. You work through each component for a hypothetical mid-size trading book submission, learn how to anticipate the questions an APRA examiner will ask, and build the response log structure for turning around a finding quickly.

How this addresses your situation

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

PLAT result trending toward the IMA threshold, quarterly review approaching: modules 2 and 11

RFET count dropping for a rates tenor as market liquidity thins: modules 3 and 9

Desk moving from IMA to SA fallback, need to build the capital impact case for the trading head: modules 4 and 8

Back-testing exception count hitting amber, need to document and decide whether to remediate: modules 6 and 10

What you get with this course

12 written modules structured around the FRTB IMA desk eligibility workflow, from RFET through PLAT to APRA submission
Downloadable templates: RFET observation tracker, PLAT results log, back-testing exception register, desk eligibility dashboard, capital impact memo, modellability assessment pack, regulatory submission checklist
Worked examples for a mixed rates and equity derivatives portfolio carried through modules 2 to 8 so the calculations connect end to end
Hand-built implementation playbook tailored to your portfolio and current stage in the FRTB cycle, delivered alongside course access

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

Access to all 12 modules and downloadable templates on day one

Within 24 hours your account in the learning environment is provisioned and the tailored implementation playbook is delivered alongside it

Before and after

Before

PLAT results come back and the next step is unclear. The model output exists but the desk eligibility story for the CRO and the remediation path for APRA are both unbuilt. SA is a known fallback but the capital cost comparison has never been put in front of the trading head in a format they can act on.

After

You run the PLAT cycle, interpret the RMSE against threshold, know which remediation lever to pull, can build the SA sensitivity fallback in parallel, and can deliver the desk eligibility dashboard to the CRO in the format that supports a business decision. The APRA submission package has a repeatable structure.

What happens if you do not address this

FRTB IMA approval is capital-efficient but fragile. A desk that loses eligibility mid-cycle due to a PLAT or back-testing breach that was trending visibly for two quarters is a credibility problem as much as a capital problem. The gap between running the model and owning the decision is where market risk analysts either become a valued part of the IMA governance cycle or remain in a production role without influence over the outcome.

Who it is for

Market risk analysts and associates at banks with a FRTB IMA aspiration who are responsible for desk eligibility assessments, PLAT production, sensitivity calculation, or APRA regulatory reporting. Typically two to six years of experience, comfortable with VaR and Greeks, working through the step-change that FRTB IMA imposes on the measurement and documentation workflow.

Who this is NOT for. Treasury risk teams focused on ALM or interest rate risk in the banking book. Credit risk analysts. Quantitative model developers focused on pricing rather than regulatory capital measurement.

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. Most analysts complete the core modules in six to eight hours across two weeks. The worked examples and templates are designed for immediate use alongside live work, so the time investment compresses when there is a real desk eligibility review or APRA submission in progress.

Why $199 is the right number

The Basel Committee and APRA publish the full FRTB text, and most large banks have internal training on the SA calculation. What they do not have is a structured pathway from the calculation mechanics to the desk eligibility governance workflow and the CRO reporting format. External FRTB courses from risk management associations typically cost $2,000-$5,000 for a two-day workshop and do not include the implementation templates or a tailored playbook for your specific portfolio context.

FAQ

Does this cover both SA and IMA, or only IMA?

Both. The SA sensitivity-based method is covered in full because it serves as the fallback for desks that cannot hold IMA eligibility, and understanding the SA capital charge is essential for the IMA vs SA business case. Modules 1, 4, and 8 focus specifically on how the two approaches interact.

Is the worked example based on Australian regulatory requirements or the Basel text?

The course follows the FRTB Basel text as the foundation, with explicit notes on where APRA's implementation diverges or adds requirements specific to Australian authorised deposit-taking institutions. The APRA overlay is covered in modules 7, 11, and 12.

Is the implementation playbook the same for every buyer?

No. The tailored playbook is built after purchase based on your role, your portfolio type, and your current stage in the FRTB implementation cycle. A buyer preparing for first IMA submission gets a different playbook than one managing ongoing eligibility monitoring.

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.