The SVP Market Risk Playbook for Mid-Cap US Banks

Description

What is the The SVP Market Risk Playbook course about?

Run a credible VaR-to-IRRBB-to-FRTB story for the CRO, the Fed, and the trading desk in one tightly written package. The FRTB internal-models decision, the IRRBB EVE outlier creep, and the VaR exception narrative all land on the same desk in the same week. The CRO wants one memo. The Fed wants another. The trading desk wants a third. Nobody can write all.

Why this course?

What do you take away from the The SVP Market Risk Playbook course?

Write the IMA-vs-SA recommendation memo the CRO signs off without redrafting. Defend the IRRBB EVE outlier number in front of ALCO using a behavioural-assumption narrative the treasurer accepts. Produce a VaR backtesting exception write-up that survives a Fed horizontal review without weakening the risk-appetite statement. Build the counterparty credit risk concentration story for the top-20 names without naming clients in the memo.

What you get with this course?

12 written modules in the Art of Service learning environment. Memo templates for IMA-vs-SA, IRRBB EVE defence, VaR exception write-up, CCR concentration, ALCO briefing. Worked examples calibrated to a $50bn-$500bn US bank trading book. Per-buyer implementation playbook hand-built around your bank's specific book mix and outstanding regulatory items. 30-day money-back if the templates do not save you a memo cycle.

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

Within 24 hours: course access in the Art of Service learning environment. Within 24 hours: hand-built implementation playbook delivered alongside, tailored to a mid-cap US bank market-risk book. Self-paced from there. Most buyers work through the 12 modules over 4-6 weeks alongside the day job.

What does the The SVP Market Risk Playbook cover on before and after?

Every quarter the FRTB, IRRBB, VaR, and CCR memos get written from scratch under deadline. The CRO sends them back for redrafts. The Fed asks the same questions about the same exceptions. ALCO never gives market risk the airtime the work deserves. The memo templates and the quarterly pack template carry the cognitive load. The CRO signs off on the IMA-vs-SA memo.

What happens if you do not address this?

The FRTB go-live deadline is fixed. The IRRBB outlier test does not pause for memo-writing time. The Fed horizontal review reads what is in front of it. Without a memo system, every quarter is a scramble, every CRO interaction is a redraft, and the SVP's reputation as a calm, defensible voice on market risk is the thing that gets eroded.

Who it is for?

SVP-level Market Risk Manager at a US bank between $50bn and $500bn in assets. Owns the second line of defence for trading book risk, IRRBB, and counterparty credit. Reports to the CRO or to a Head of Market Risk who reports to the CRO. Has a team of 4-12 quants and analysts. Spends roughly half the week on technical model work and.

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

A focused course, tailored for you

The SVP Market Risk Playbook for Mid-Cap US Banks

Run a credible VaR-to-IRRBB-to-FRTB story for the CRO, the Fed, and the trading desk in one tightly written package.

The FRTB internal-models decision, the IRRBB EVE outlier creep, and the VaR exception narrative all land on the same desk in the same week. The CRO wants one memo. The Fed wants another. The trading desk wants a third. Nobody can write all three without a system.

$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

An SVP Market Risk Manager at a mid-cap US bank carries a strange combination of work. Half of it is technical: VaR model calibration, IRRBB EVE and NII scenario design, FRTB sensitivities-based approach calculations, the daily backtesting log. The other half is political: writing the memo that says why the rates desk should get IMA and the equities desk should not, defending the assumptions in the IRRBB behavioural model when the asset-liability committee wants a different answer, explaining the Q1 VaR exceptions in a way that survives the Fed horizontal review without spooking the risk-appetite statement. The technical work has tools. The political work has templates that the SVP has to write themselves, usually under deadline, usually without help. This course is the system for the second half.

What you walk away with

Write the IMA-vs-SA recommendation memo the CRO signs off without redrafting.
Defend the IRRBB EVE outlier number in front of ALCO using a behavioural-assumption narrative the treasurer accepts.
Produce a VaR backtesting exception write-up that survives a Fed horizontal review without weakening the risk-appetite statement.
Build the counterparty credit risk concentration story for the top-20 names without naming clients in the memo.
Hand the CRO a single quarterly market-risk pack that consolidates VaR, FRTB, IRRBB, CCR, and stress.

The 12 modules

Module 1. The FRTB IMA-vs-SA recommendation memo

How to write the one-pager the CRO will actually sign. Includes the capital-relief calculation for the rates book under IMA, the model-risk overhead estimate the model-risk team will demand, the desk-level P&L attribution test pass-or-fail evidence, and the recommendation logic that resists pushback from both Treasury and Finance. Worked example from a $120bn-asset bank with a mid-sized rates desk and a small equities desk.

Module 2. The IRRBB EVE outlier defence narrative

When the supervisory outlier test creeps above 15 percent of Tier 1 capital on the asset-sensitive parallel shock, the ALCO needs a story that explains why the number is real, why the behavioural assumptions are sound, and why the bank is not going to add a hedge. This module gives you the three-paragraph narrative structure, the behavioural assumption defence (non-maturity deposits, prepayment, term-deposit early redemption), and the chart pack the treasurer can use to argue back at the board.

Module 3. The VaR exception write-up that survives the Fed

Q1 had four backtesting exceptions on the trading book VaR model. Three were on rates days when the model was working as designed. One was a tail event nobody had calibrated for. This module walks through writing the exception explanation the Fed horizontal reviewer accepts without forcing a model rebuild, without weakening the risk-appetite statement, and without flagging a yellow zone reclassification.

Module 4. The IRRBB NII three-year projection narrative

Net interest income under the regulatory NII metric is harder to defend than EVE because it depends on volume assumptions, not just rate paths. The module covers building the three-year base, up-100, down-100, and twist scenarios with credible volume assumptions, writing the narrative that explains the NII path to ALCO, and reconciling the NII story with the budget the CFO is presenting to the board.

Module 5. Counterparty credit risk concentration in the trading book

The top-20 counterparty exposure concentration story has to be told without naming clients in the memo. The module covers the SA-CCR exposure calculation refresh, the PFE add-on logic, the concentration narrative structure (sector, rating, tenor, collateral quality), and the limit-breach escalation memo template that the credit committee approves on first read.

Module 6. The quarterly market-risk pack for the board risk committee

A single 12-page pack that consolidates VaR, FRTB capital, IRRBB EVE and NII, CCR, and the top three stress scenarios. The module supplies the page-by-page template, the executive summary structure that survives a 20-minute board slot, the chart standards that hold up when blown up to projector size, and the appendix discipline that keeps the questions on the chart, not on the methodology.

Module 7. Stress test scenario design that the CRO defends

Internal stress scenarios beyond CCAR and DFAST. The module covers picking the three scenarios that matter for the trading book (a credit-spread blow-out, a rates shock with curve twist, a single-name counterparty default), calibrating the shocks to a defensible probability, writing the result narrative, and producing the management-action plan the CRO can table at the board if any scenario triggers.

Module 8. Model risk governance for market risk models

The annual model validation cycle for VaR, FRTB sensitivities, IRRBB EVE/NII, and SA-CCR. The module covers the model inventory hygiene, the validation scope memo, the ongoing monitoring report template, the limitations and assumptions appendix, and the response memo to the model risk management team's findings letter that closes findings without weakening the model.

Module 9. Risk appetite statement language for market risk

The trading book section of the risk appetite statement is one paragraph. That paragraph determines what the CRO can defend in front of the board and what the Fed sees on its annual review. The module covers the appetite metric set (VaR limit, stressed VaR limit, FRTB capital ceiling, IRRBB EVE threshold, single-name CCR cap), the quantitative-vs-qualitative balance, and the language that holds up under both Fed and board scrutiny.

Module 10. The ALCO market-risk briefing that gets time on the agenda

Treasury runs ALCO. Market risk gets 10 minutes. The module covers the three slides that earn the time, the question pre-empt structure that keeps the treasurer's pushback contained, the IRRBB-NII-vs-budget reconciliation that the CFO will respect, and the escalation language for when the EVE outlier or the NII shock is about to breach.

Module 11. Working with the front office without becoming a yes-function

Trading desk heads want IMA on every book, every limit raised, every model recalibrated. Saying no without losing the relationship is its own skill. The module covers the limit-discussion memo structure, the model-change request response template, the desk-level P&L attribution test conversation, and the escalation path when the desk and the second line disagree, including the language to use with the CRO when escalation is needed.

Module 12. The career trajectory from SVP to Head of Market Risk

What changes between SVP and the Head role: less time on technical model work, more time on board interaction, more time on regulatory relationships, more time on team building. The module covers the visibility moves that matter (the right board paper at the right time, the right Fed meeting, the right hiring decision), the team-build sequence that earns the promotion, and the public artefacts (industry comment letters, conference papers, internal cross-functional leadership) that signal readiness.

How this addresses your situation

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

FRTB IMA-vs-SA decision is open, CRO is waiting on a recommendation memo: modules 1, 8, 9.

IRRBB EVE outlier creeping toward supervisory threshold: modules 2, 4, 10.

Q1 VaR backtesting exceptions in front of a Fed horizontal review: modules 3, 8, 9.

Quarterly board risk committee pack needs rewriting: modules 6, 7, 9.

What you get with this course

12 written modules in the Art of Service learning environment.
Memo templates for IMA-vs-SA, IRRBB EVE defence, VaR exception write-up, CCR concentration, ALCO briefing.
Worked examples calibrated to a $50bn-$500bn US bank trading book.
Per-buyer implementation playbook hand-built around your bank's specific book mix and outstanding regulatory items.
30-day money-back if the templates do not save you a memo cycle.

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

Within 24 hours: course access in the Art of Service learning environment.

Within 24 hours: hand-built implementation playbook delivered alongside, tailored to a mid-cap US bank market-risk book.

Self-paced from there. Most buyers work through the 12 modules over 4-6 weeks alongside the day job.

Before and after

Before

After

The memo templates and the quarterly pack template carry the cognitive load. The CRO signs off on the IMA-vs-SA memo on first read. The ALCO briefing earns its slot. The Fed reviewer reads the VaR exception write-up and moves on. The team spends more time on actual model work.

What happens if you do not address this

Who it is for

Who this is NOT for. Not for first-line trading risk officers, not for credit risk managers, not for retail bank ALM analysts who do not touch the trading book, not for buy-side risk professionals. The course assumes you own the FRTB SA calc, the IRRBB EVE and NII templates, and the VaR backtesting log. If those phrases are unfamiliar, this is the wrong course.

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. Roughly 2-3 hours per module if working through the worked example. Total course load 25-35 hours, spread across 4-6 weeks for most buyers.

Why $199 is the right number

GARP and PRMIA cover the theory. Big4 advisory engagements cover the implementation but at $250K+ and on the consultancy's timeline. Internal model risk teams audit the work but do not write the memos for you. This course is the memo system, priced as a single-user license at 199 USD with a hand-built implementation playbook included.

FAQ

Is this US-specific or does it cover EU CRR3 as well?

Primary frame is US Fed Reg YY and the FRTB US implementation timeline. EU CRR3 equivalence is referenced where the US implementation borrows from it, but the templates are calibrated to US supervisory expectations.

Does the course cover model development or just memo-writing?

Memo-writing and the defence narrative around models you already have or are implementing. Not a model development course. If you need VaR or FRTB model build guidance, this is the wrong course.

What does the implementation playbook actually contain?

Hand-built around your specific book mix, your outstanding regulatory items, and the memos you have on the desk right now. Roughly 25-40 pages tailored to the situation you describe at purchase.

Is there a refund?

Yes, 30-day money-back if the templates do not save you at least one memo redraft cycle.

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.