Designed for Finance Professionals
The FRTB Standardised Approach (FRTB-SA) Program is designed to equip financial risk, regulatory capital, and quant finance professionals with the regulatory expertise, quantitative frameworks, and hands-on implementation skills required to calculate and defend risk capital under the Basel FRTB framework. This rigorous program covers the trading book boundary, the Sensitivities-Based Method (delta, vega and curvature), the Default Risk Charge, the Residual Risk Add-on, and special treatments. It bridges regulatory text with practical implementation, and culminates in a capstone where participants build and defend a full SA engine, mirroring the workflows and governance standards of risk functions at global investment banks and other financial institutions.
Learning outcomes with hands-on projects
Insights to break into or advance in finance roles
Targeted resources to
succeed in interviews
Recordings and reference materials for support
What You'll Learn
This module explains why the Fundamental Review of the Trading Book was introduced and how the framework fits together. It examines what Basel 2.5 got wrong: trading and banking book arbitrage, generous diversification credit, and the limits of VaR. It then covers the design shifts FRTB introduced in response: risk-factor sensitivities, liquidity horizons, desk-level approval, and a tighter boundary. Participants learn how the consolidated Basel text is organised, from the boundary chapter through SA, IMA and the simplified approach. They then follow the path from capital charge to RWA, including how market risk feeds the output floor and Pillar 3 disclosure. The module closes with a practical method for reading regulatory text: definitions first, then worked paragraphs, then FAQs and local transposition.
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This module covers the boundary that determines which positions attract market risk capital. It starts with trading intent, valuation and desk structure as the basis for classification. It then covers the presumptive lists of trading book and banking book instruments and the documented-exception route. It also addresses internal risk transfers between the banking book and trading desks, and how internal hedges are treated. Participants study the reclassification rules and why they cannot deliver capital relief. The module explains what a trading desk is under FRTB and why the definition matters for both SA and IMA. It concludes with the scope of market risk capital, including FX and COMM risk held anywhere in the bank.
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This module gives an architectural overview of the Standardised Approach before any detailed calculation. It introduces the three components (SBM, DRC and RRAO) and shows how they add up to a single capital charge. It covers the seven risk classes and the delta, vega and curvature measures. It also explains risk factors and buckets, and how one trade decomposes into several risk classes at once. The module positions SA in its three roles: as a standalone approach, as the fallback for desks that fail IMA eligibility, and as the basis of the output floor. It then covers the simplified SA for smaller banks, including eligibility and how it differs. It closes with the data, mapping and governance that must be in place before any code is written.
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This module introduces the delta calculation framework through the two risk classes that underpin most trading books. It covers delta sensitivity definitions and bump-and-reprice conventions, and why pricing-model consistency matters. It then covers risk weights and the weighted-sensitivity step, followed by the three-level aggregation: within a bucket, across buckets, and across the high, medium and low correlation scenarios. For GIRR, participants work through risk-free curve tenors, inflation and cross-currency basis risk factors, with currency-level buckets. For FX delta, the module covers reporting-currency conventions, pair-level risk factors, and the reduced liquidity-horizon option for specified pairs. It concludes with building and testing correlation matrices.
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This module extends the delta framework to three risk classes with more complex bucketing and correlation structures. Credit spread risk (non-securitisation) covers sector and credit-quality buckets, issuer curves, and name, tenor and basis correlations. Equity delta covers buckets by market capitalisation, economy and sector, spot and repo risk factors, and index treatment. Commodity delta covers commodity groups, tenors, and delivery-location basis. Participants compare intra-bucket and inter-bucket correlations and see where each moves the capital charge most. The module closes with the common mapping errors and the reference-data fixes that prevent them.
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This module covers the credit spread frameworks for securitisation exposures. It begins with what counts as a securitisation and what belongs in the correlation trading portfolio (CTP). It explains tranche-level spread risk factors, which replace look-through to the underlying pool. It then covers bucketing, risk weights and correlations for non-CTP securitisation. For the CTP, it covers scope, hedge recognition, and how the treatment differs from non-CTP. The module concludes with a side-by-side comparison of the three credit spread frameworks.
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This module covers the measurement of volatility risk under SBM. It starts with the vega risk factors: implied volatility by option maturity for each underlying. Vega sensitivity is defined as vega multiplied by implied volatility. The module covers risk weights scaled by liquidity horizon and capped, and correlations built from the option-maturity and underlying dimensions together. Participants also learn how to treat options without a stated maturity or strike, and instruments that carry no vega. It closes with interest rate vega and the choice of volatility model.
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This module addresses the non-linear risk that delta leaves out. It explains why curvature exists, then covers the up and down shocks by risk class and how curvature risk weights are set. Participants learn the curvature measure: revalued P&L less the delta-implied estimate, taking the worse of the two directions. The module covers aggregation using squared delta correlations, and the treatment of offsets and negative values. It also addresses multi-underlying options and index products. It closes with performance, specifically how to keep full revaluation tractable on large books.
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This module covers the capital charge for jump-to-default risk that spread risk does not capture. It begins with what DRC captures and its three sub-charges: non-securitisation, securitisation and CTP. Participants work through gross jump-to-default (JTD): notional, cumulative P&L, direction, and loss given default by seniority. The module then covers maturity scaling for positions under one year and the effect of its floor. It explains how long and short exposures to the same obligor are netted and the conditions that allow it. It covers risk weights by credit quality, unrated and defaulted names, and the sovereign, corporate and local government buckets, followed by the hedge benefit ratio and bucket-level aggregation. It then covers securitisation and CTP DRC, with tranche-level exposure and risk weights. The module closes with the data problems that dominate real projects: obligor hierarchies, rating sources and seniority flags.
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This module covers the charge for risks that SBM and DRC do not capture. It starts with the purpose of RRAO, then the two rates: 1.0% of gross notional for exotic underlyings and 0.1% for other residual risks. The module explains what qualifies as an exotic underlying and as another residual risk, with worked examples. It covers the exclusions (for example listed or centrally cleared instruments and back-to-back trades) and the conditions attached to them. It closes with the grey areas of interpretation and how firms document their classification policy.
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This module covers positions that do not fit the standard risk-factor mapping. It begins with index instruments and multi-underlying options: look-through versus index-level risk factors, and the qualifying-index conditions. It then covers collective investment undertakings under the look-through, mandate-based and hypothetical-portfolio approaches, plus the fallback risk weight. It addresses instruments that decompose across several risk classes, such as convertibles and structured notes. It also covers structural FX positions and other supervisory exclusions. It closes with the data-availability tests that decide which approach a fund position can use.
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This capstone brings together Modules 1 to 11. Participants design and build an end-to-end Standardised Approach engine covering SBM (delta, vega and curvature across all risk classes), DRC and RRAO. The engine aggregates these into a single capital charge, and participants must defend their design. That means justifying interpretation choices, mapping and reference-data decisions, and classification policies, and demonstrating that the calculations are tested and reconcilable.
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Subscription
Pricing Plan
20,000 INR
100% Refund (No Questions Asked) within 2 hours of subscription.