FRTB Fundamentals
Comprehensive Training for Banking Professionals
Master the Fundamental Review of the Trading Book with expert guidance on market risk capital rules, standardized approach, and internal models
Master the Fundamental Review of the Trading Book with expert guidance on market risk capital rules, standardized approach, and internal models
Master the latest Basel III market risk framework essential for banking operations and regulatory compliance
Learn both Standardized Approach (SA) and Internal Models Approach (IMA) with real-world calculation examples for SA
Reconciled sample Excel calculations and Python programs
Gain expertise in market risk measurement, sensitivities, correlations, and volatilities for effective trading book management
Get exposure to AI generated python code from Excel samples
Stand out with specialized FRTB knowledge highly valued by banks and financial institutions
Ability to join an FRTB community and ask questions directly to the professor
Quant with very broad industry access
Tim brings deep expertise in banking regulation and market risk management. His practical experience with FRTB implementation across multiple institutions provides invaluable insights into real-world challenges and solutions.
Comprehensive overview of the Fundamental Review of the Trading Book framework and its objectives.
Understanding the critical distinction between trading and banking books under FRTB.
Deep dive into the Standardized Approach methodology and calculation framework.
A practical, step-by-step guide to reconciling FRTB Standardized Approach calculations for a single SOFR swap using Excel.
Explore how ChatGPT can assist in converting FRTB-related Excel spreadsheets into Python code, and a detailed walkthrough of the GIRR algorithm.
Comprehensive coverage of the Internal Models Approach and regulatory requirements.
Understanding the criteria for risk factor eligibility under the Internal Models Approach.
In-depth analysis of Non-Modellable Risk Factors and their treatment under FRTB.
Understanding the P&L Attribution Test requirements and implementation.
Comprehensive coverage of liquidity risk considerations under FRTB.
Practical insights into FRTB implementation challenges and solutions.
Insights from industry adoption studies and implementation best practices.
An advanced module covering the reconciliation of Standardized Approach calculations for complex instruments including cross-currency interest rate swaps and FX forwards.
"SA and IMA standard are very well explained. It's concise but comprehensive. Excellent overview to understand the big picture and gets into some of the details."
"It thoroughly explains the two primary approaches, SA and IMA, and also delves into the Trading Book and Banking Book. The material is well-organized, offering a clear understanding of the critical areas."
"Just the right detail to make me understand the regulation. Liked the specific part of risk sensitivities, model validation, P&L attribution tests. Excel recon and python code are great."
Basic understanding of banking operations and market risk concepts is helpful but not required. The course starts with fundamentals and builds up to advanced topics.
You have lifetime access to all course materials, including any future updates and additional content that may be added.
Yes, the course provides comprehensive coverage of both SA and IMA, including detailed explanations, calculations, and practical implementation guidance.
Absolutely. The course includes numerous practical examples, sample calculations, and real-world case studies to illustrate key concepts and implementation challenges.
Yes, the course is designed to provide comprehensive knowledge that consultants can apply across different institutions and FRTB implementation projects.
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Join banking professionals who are advancing their careers with this comprehensive course.
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