FRTB Complete Guide

Covered Topics :-

1. FRTB Basics (Simplest Explanation)

• • Why FRTB was introduced
  • Difference between Basel 2.5 vs FRTB
  • Real-world intuition (no jargon)

2. Standardized Approach (SA)

• • Risk Factors (IR, FX, Equity, Credit, Commodity)
  • Delta, Vega, Curvature explained simply
  • Sensitivity-based Method (SBM)
  • Aggregation using correlation matrices
  • Default Risk Charge (DRC)
  • Residual Risk Add-On (RRAO)

3. Internal Model Approach (IMA)

• • Expected Shortfall (ES) – step-by-step
  • Stress Period Selection
  • Liquidity Horizons
  • Risk factor modelling

4. RFET (Risk Factor Eligibility Test)

• • Modellability explained simply
  • NMRF concept
  • Real-world challenges banks face

5. P&L Attribution (PLA)

• • Hypothetical vs Risk-Theoretical PnL
  • Traffic light approach
  • Why desks lose IMA approval

6. Real Industry Use Cases

• • How banks calculate capital
  • What goes wrong in validation
  • Common audit findings

7. Interview Preparation (Very Important)

• • Real interview questions (Barclays, Nomura level)
  • How to answer like a professional
  • Practical examples

Why This Course is Different

• • Explained in absolute simplest language
  • No theoretical overload — real understanding
  • Covers both quant + regulatory + implementation
  • Based on actual banking experience (FRTB, Model Risk, Validation)

Who Should Buy This

• • Preparing for Market Risk / Quant roles
  • Want to understand FRTB practically
  • Struggling with RFET / PLA / ES concepts