Market Risk and FRTB Implementation Masterclass
FRTB implementation with the capital consequences in view — P&L attribution, non-modellable risk factors, data challenges and the technology to carry the transition.
Format
Classroom · Live Virtual
Upcoming sessions
Pick a session to applyADMISSIONS OPENThe programme
FRTB rewrites trading-book capital, and implementation decisions — not just models — determine what it costs. This masterclass works through budgeting, planning and managing the FRTB implementation process: optimising capital impact from the P&L attribution test, minimising the impact of non-modellable risk factors, handling the default risk charge, and creating solutions for capital cliffs and capital floors. Participants walk through the capital impact of typical trade types and model portfolios, review implementation so far alongside the 2019 revisions and the IBOR transition, and confront the data challenges and the role technology plays in the transition — with model risk management under FRTB throughout.
What you will do
Who attends
- FRTB implementation teams
- Market risk and traded risk professionals
- Capital management teams
- Quantitative analytics
Programme agenda
Built for the decisions no textbook prepares you for
I.The FRTB landscape
- Reviewing the implementation of FRTB so far
- Assessing the 2019 revisions
- IBOR transition and FRTB
II.Capital mechanics
- The P&L attribution test and its capital impact
- Capital cliffs and capital floors
- Default risk charge
III.Risk factors and data
- Modellable and non-modellable risk factors
- Minimising the impact of NMRFs
- Addressing the data challenges of FRTB
IV.Models and technology
- Model risk management under FRTB
- Capital impact of typical trade types and model portfolios
- The role of technology in the FRTB transition
Frequently asked
Do these programmes cover the Basel III final reforms and the ICAAP/ILAAP cycle?
Yes. The BIZENIUS banking curriculum is built around the Basel III endgame, ICAAP, ILAAP, IRRBB, IFRS 9 provisioning, stress testing and BCBS 239. Participants leave able to quantify the output floor on their own portfolios, write capital and liquidity documents that withstand supervisory review, and defend the numbers to their board.
Are the programmes adapted to regional supervisors such as SAMA, CBUAE or BCEAO?
Casework is built around supervisory documents rather than textbook theory, and faculty include former practitioners who have sat on both sides of an examination. Programmes address the questions SAMA, CBUAE, BCEAO and other home regulators actually put to the desk, and an in-house edition can be tailored to a single jurisdiction.
How do I secure a seat on a banking programme?
Apply for a seat or request the brochure from the programme page. A senior practitioner — not a sales team — responds within one business day, and the brochure arrives with that reply. BIZENIUS runs on enquiry: there is no online checkout.
Can a programme run in-house for our bank?
Every BIZENIUS programme can be delivered in-house, tailored to your balance sheet, your regulator and your data, in English or French. Many institutions start with an open cohort, then commission a private edition for the wider team.
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In their words
Knowledge transfer, emphasised throughout
“We worked with BIZENIUS for our Fresh Graduates Programme — they are simply amazing. Knowledge transfer and practical learning were emphasised throughout.”
Kuwait Investment Authority
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Take the brochure with you.
One request — the full agenda, the faculty and the next cohort dates, sent personally by the admissions team.