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 · 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
What is FRTB, and why does implementation matter so much?
The Fundamental Review of the Trading Book rewrites trading-book capital — and implementation decisions, not just models, determine what it costs. The masterclass works through budgeting, planning and managing the implementation process: optimising capital impact from the P&L attribution test, minimising non-modellable risk factors, handling the default risk charge, and creating solutions for capital cliffs and capital floors.
Does the course cover data and technology challenges?
Yes — participants confront the data challenges of FRTB and the role technology plays in the transition, with model risk management under FRTB running throughout. The programme also reviews implementation so far, the 2019 revisions and the interaction with the IBOR transition, and walks through the capital impact of typical trade types and model portfolios.
Who should attend, and in which languages is it run?
FRTB implementation teams, market risk and traded risk professionals, capital management teams and quantitative analytics. BIZENIUS delivers the masterclass in English and French, with in-house editions tailored on request; sessions run on a rolling calendar and fees are provided on enquiry.
Who teaches this
Practitioners, not presenters.
Led by practitioners who have carried governance, risk and compliance accountability themselves: chief risk officers and heads of enterprise risk, heads of financial-crime compliance and certified anti-money-laundering specialists, internal-audit leaders and directors who sit on the committees these programmes prepare you for. Several hold current seats; all advise institutions under supervision between cohorts.
What the bench brings
- Enterprise risk framework design and risk culture
- Risk appetite, limits and risk and control self-assessment
- Capital, liquidity and stress-testing frameworks
- Operational risk and resilience
- Basel capital frameworks from Pillar 1 to Pillar 3
- ICAAP and ILAAP construction and supervisory review
Where they have practised
Current and former practitioners — people who hold the seat today alongside those who have held it.
Sectors: Banking & financial services · Insurance · Professional services · Central banking & supervision
Regions: Africa · the Middle East · Europe · Asia · the Americas
How they teach
- Board-pack and committee case work
- Chaired role plays and committee exercises
- Group discussion of real incidents and findings
- Self-assessments against supervisory expectations
- Knowledge checks and a personal action plan
Cohorts are kept small so every exercise is worked on the participants’ own situations — in person or live virtual.
The faculty profile for your cohort is sent with the full agenda and the next dates when you enquire.Request brochure →
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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.