Market Risk and FRTB Implementation Certification Course

Market Risk and FRTB Implementation Certification Training

This Market Risk and FRTB Implementation certification training is an advanced professional program designed to deepen participants’ understanding of modern market risk frameworks and the practical challenges of implementing the Fundamental Review of the Trading Book (FRTB) — the Basel III capital standard for market risk.

This course provides a comprehensive exploration of how FRTB reshapes market risk capital requirements, including the transition from legacy approaches to the Standardised Approach (SA) and the Internal Models Approach (IMA), expected shortfall calculation, desk eligibility criteria, non‑modellable risk factors (NMRFs), and supervisory expectations. Through real‑world case studies, practical walkthroughs and hands‑on examples, learners will build the skills needed to benchmark FRTB frameworks, navigate data and governance challenges, apply backtesting and P&L attribution tests, and optimise risk‑weighted assets across trading activities.

This programme delivers 20 hours of Continuing Professional Development (CPD) / Continuing Professional Education (CPE). Please note that it is a self-certified training initiative and does not carry formal accreditation from any external CPD or CPE governing body. Participants are strongly advised to consult with their respective professional, regulatory or membership organisations to determine the eligibility and recognition of these learning hours for their continuing education requirements.

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Testimonials

Harish Nair

Market Risk Officer-DBS Bank

The course provided deep insight into regulatory frameworks, risk modeling and capital requirements. The practical examples made complex concepts much easier to understand and apply in real-world scenarios.

NGUYEN THAI SON

Finance Director-Wetaus Vietnam

An excellent course for finance and banking professionals looking to strengthen their understanding of market risk management and FRTB regulations. The trainer explained advanced concepts in a very clear and structured manner.

Emmanuel Ngabo

Quantitative Risk Analayst-PwC Zambia

The course delivered a strong balance of theoretical knowledge and practical implementation strategies. I particularly appreciated the sessions on risk measurement techniques, trading book requirements and Basel guidelines.

Simon Jackson

Capital Models Analyst-Coventry Building Society

This training program significantly improved my understanding of FRTB implementation challenges and market risk governance. The case studies and industry-focused discussions added tremendous value to my professional learning.

By the end of this course, participants will be able to:

Describe the evolution of market risk regulation and the rationale for the Fundamental Review of the Trading Book (FRTB).
Explain the differences between the Standardised Approach (SA) and Internal Models Approach (IMA) under FRTB and the implications for capital requirements.
Interpret the revised trading book and banking book boundary rules and understand their impact on risk management and capital allocation.
Calculate key sensitivity‑based risk components (delta, vega, curvature) and understand the structure of risk buckets and correlations used in the SA under FRTB.
Apply concepts of expected shortfall (ES), liquidity horizons and stress ES calibration in the context of FRTB capital measurement.
Assess the role and requirements of desk eligibility, model governance and validation under the IMA framework.
Conduct backtesting and P&L attribution (PLA) tests, interpret results, and understand their influence on regulatory capital outcomes.
Identify and manage non‑modellable risk factors (NMRFs) and understand data sufficiency requirements such as the risk factor eligibility test (RFET).
Recognise implementation challenges and design considerations, including data quality, governance, reporting and technology infrastructure for FRTB compliance.

Details

FRTB Overview

Evolution from Basel 2.5 to the Basel Market Risk Framework
Regulatory concerns with Basel II and Basel III approaches
Basel consolidated framework (2023) and global implementation timelines (EU, UK, US, APAC)
Industry-wide implementation challenges

Trading Book / Banking Book Boundary

Revised trading book and banking book boundary rules
Trading book definition and presumptive list
Capital arbitrage concerns and supervisory overrides
Internal risk transfer (IRT) rules and restrictions

Trading Desk Structure & Governance

Definition and role of a trading desk under FRTB
Desk-level approval requirements under SA and IMA
Model decommissioning and fallback to the Standardised Approach
Use of sub-desks and hierarchical desk structures
Risk management policies, reporting, and limit frameworks
Optimisation of risk-weighted assets (RWA) across desks

Sensitivity-Based Approach (SBA)

Objectives and high-level overview of the SBA
Calculation of risk sensitivities
Delta, Vega, and Curvature risk components
Risk weights, buckets, and correlation structures
Coverage across equity, FX, interest rate, commodity, and credit spread risks

Default Risk Charge (DRC under SA)

Default risk definitions, risk buckets, and LGD assumptions
Differences between the FRTB DRC and Basel 2.5 IRC

Residual Risk Add-On (RRAO)

Identification of instruments subject to residual risk
Examples from correlation trading portfolios

SA Calculation Walkthrough

End-to-end Standardised Approach capital charge example
Combined scenario incorporating SBA, DRC, and RRAO
Hands-on exercises and spreadsheet illustrations

IMA Framework

Trading desk-level eligibility requirements
General qualitative criteria (D352)
Model validation, governance, and approval processes
Data standards and requirements under FRTB

Expected Shortfall (ES) Framework

Conceptual differences between Expected Shortfall and VaR
Liquidity horizon concepts and assignment
Scaling and aggregation across multiple liquidity horizons
Stress ES calibration using the “stress-of-the-day” period

Non-Modellable Risk Factors (NMRF)

Risk Factor Eligibility Test (RFET)
Data sufficiency requirements (24-in-12 rule)
NMRF capital charge using Stress Expected Shortfall (SES)

Stress Testing Standards

Scenario-based stress testing approaches
Internal stress testing frameworks and governance
Integration with ICAAP and ILAAP processes

FRTB Capital Requirements

Capital determination under internal models
Impact of unapproved desks on capital requirements
Capital output floor under Basel III finalisation
RWA impact assessment for banks

Backtesting Framework

Actual P&L, hypothetical P&L, and risk-theoretical P&L
Traffic light approach and binomial testing
Challenges of backtesting Expected Shortfall versus VaR

P&L Attribution (PLA) Test

Comparison of Hypothetical P&L (HPL) and Risk-Theoretical P&L (RTPL)
Identification of unexplained P&L
Statistical testing and interpretation of p-values
Desk approval implications and consequences
Worked examples and practical exercises

Default Risk Charge (DRC under IMA)

Migration and default risk modelling concepts
Differences between FRTB DRC and legacy IRC
Spreadsheet-based DRC calculation example

Implementation Challenges and Bank Perspectives

Global FRTB implementation timelines
Operational and organisational complexities
Model lifecycle management considerations

Data Challenges

Data sourcing, quality, and completeness issues
Data gaps affecting RFET and NMRF assessment
Time series requirements under FRTB
BCBS 239 principles for FRTB data governance

RWA Comparability Exercises

Supervisory benchmarking exercises
Drivers of RWA variability across jurisdictions

Integrated Stress Testing & Reconciliation

Linking Standardised and Internal Model Approaches
Integration with enterprise-wide stress testing programs
Linkages between FRTB, ICAAP, ILAAP, and Recovery Planning

Final Considerations

System design and technology infrastructure considerations
Reporting and public disclosure requirements
End-to-end FRTB operating model design
Wrap-up, discussion, and Q&A

Why is it beneficial to obtain this certification?

Earning the Market Risk & FRTB Implementation Masterclass certification gives finance, trading and risk professionals deep, practical expertise in Market Risk Management and the Fundamental Review of the Trading Book (FRTB) - one of the most significant regulatory reforms introduced under the Basel framework. The course teaches how banks measure and manage trading book risks under the new FRTB standards, understand regulatory capital requirements and implement robust market risk frameworks that align with evolving supervisory expectations. It also covers core concepts and methodologies used by global financial institutions - such as the Standardised Approach (SA), Internal Models Approach (IMA), Expected Shortfall (ES), P&L Attribution (PLA), Backtesting, Risk Factor Eligibility Tests (RFET) and stress scenario modelling - enabling you to contribute confidently to trading risk oversight, regulatory reporting and capital optimisation initiatives that strengthen institutional resilience and profitability.

From a career and compensation perspective in the U.S. financial market, expertise in Market Risk and FRTB can significantly enhance your professional value and earning potential. Roles that utilise these skills - such as FRTB Analyst, Market Risk Manager, Trading Risk Specialist, Model Validation Analyst or Regulatory Capital Risk Manager - are increasingly in demand as banks accelerate FRTB implementation programmes and strengthen market risk governance frameworks. For example, an FRTB / Market Risk Analyst position in New York typically ranges from $120,000 – $150,000 per year, reflecting the specialised technical and regulatory expertise required in global banking and capital markets environments.

As professionals gain experience and move into senior quantitative, regulatory or leadership roles, total compensation can rise substantially - especially when combining FRTB expertise with quantitative analytics, trading, stress testing, model risk or enterprise risk management capabilities. This certification helps you stand out by formally validating your ability to navigate complex market risk regulations, optimise trading book capital and support strategic decision-making in highly regulated financial institutions - boosting both career mobility and negotiating power in competitive banking and capital markets sectors.

About The Trainer

He is a seasoned risk management and regulatory specialist with deep expertise in market risk frameworks and the implementation of the Fundamental Review of the Trading Book (FRTB) under the Basel III market risk regime. He brings practical insights into the revised trading book/banking book boundary, standardized and internal model approaches to capital requirements and the real‑world challenges financial institutions face during FRTB adoption. With a strong focus on calibration, governance, risk sensitivities and stress testing principles, he helps participants build both conceptual understanding and practical implementation strategies. Passionate about advancing professional competence in regulatory risk, he equips learners with the tools and confidence to navigate and apply FRTB requirements effectively in their organizations.

Our Clients

Frequently Asked Questions

Market Risk and FRTB Implementation Certification Training

1. Can I pay the course fee in instalments?

Yes, you will be able to pay the course fees in instalments. Reach out to [email protected] to see the options available to you.

2. Is there an exam for certification?

Yes, there will be an assessment of 20 questions based on the training topics at the end of the course. You will need to score at least 75% to pass. Participants will receive a certificate of completion reflecting 20 CPD/CPE hours, issued on a self-certification basis.

3. How many attempts do I have to pass the exam?

You will get 2 attempts.

4. I may miss out on attending a few live sessions. Is that ok?

Sure, you can watch the recordings of the sessions you cannot attend and get back to us if you have any doubts to clear.

5. Are there any corporate or group discounts?

Group discounts are available to groups of more than three candidates. You can get up to 20% discount depending on the number of participants.

6. Can I switch my start date?

Yes, if you notify at least 24 hours in advance before the 1st class of the training and there is an availability in a different batch then you will be able to switch your start date.

7. Can I cancel my enrolment? Will I get a refund?

Our courses are designed to provide high quality learning and outcomes that exceed expectations. If for some reason your expectations are not met. You will be given a refund in accordance with our 100% satisfaction policy.

8. What happens once I make the payment and complete registration for live training?

You will receive meeting login for Zoom live classes and training materials.

9. How can I clarify doubts after the training sessions?

All the participants will be added to WhatsApp group. You can clarify doubts at any time via WhatsApp or email.

10. What is this Market Risk & FRTB Implementation course about?

This masterclass provides in‑depth training on the Fundamental Review of the Trading Book (FRTB) and the Basel III market risk framework, helping professionals understand new regulatory capital standards and implementation challenges.

11. Who should attend this training?

The course is ideal for market risk managers, trading book risk professionals, model risk and validation teams, capital management specialists, regulators, front office and quantitative analytics staff and finance and treasury professionals involved in regulatory capital processes.

12. What will I learn in this course?

You’ll gain practical insights into FRTB components such as the Standardized and Internal Models Approaches, Expected Shortfall and sensitivity calculations, trading vs banking book boundary, non‑modellable risk factors (NMRFs), P&L Attribution (PLA) tests and implementation challenges.

13. What are the benefits of attending?

Participants enhance their understanding of regulatory market risk frameworks, improve competence in designing and operating FRTB‑aligned risk systems and gain confidence to address real implementation challenges facing banks and financial institutions.