Advanced Market Risk and FRTB Implementation Certification

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.

1. Basic understanding of market risk and trading activities
2. Familiarity with financial instruments such as bonds, equities, FX and derivatives
3. General awareness of regulatory capital or Basel frameworks (helpful but not required)
4. No prior hands-on experience with FRTB models or calculations required

1. Market risk and trading risk professionals
2. Front office, risk and quantitative analytics teams
3. Regulatory capital, ICAAP and stress testing specialists
4. Model validation, model risk management and quantitative audit teams
5. Finance, treasury and RWA optimisation professionals
6. Supervisors, regulators and consultants involved in FRTB implementation

1. 20 multiple-choice questions covering all course modules
2. Passing requirement: at least 15 correct answers
3. Two attempts allowed to achieve a passing score
4. Certificate issued upon successful completion of the exam

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.

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