FRTB SA & IMA Complete Professional Package with QuantSense

FRTB SA & IMA Professional Learning Package

The QuantSense FRTB SA & IMA Professional Learning Package is an end-to-end learning and practitioner toolkit designed to build a strong working understanding of the Fundamental Review of the Trading Book.

The package covers the FRTB Standardised Approach and Internal Models Approach from first principles through to implementation-level concepts, quantitative calculations, regulatory requirements and real-world market risk applications.

It is suitable for market risk professionals, quantitative analysts, model developers, validators, regulatory consultants, capital specialists and candidates preparing for market risk interviews.

What the package covers

The learning material explains the complete FRTB framework, including the trading book framework, risk-factor identification, sensitivities, regulatory capital calculation, modellability, Expected Shortfall, P&L Attribution, backtesting and the interaction between SA and IMA.

Key topics include:

• FRTB purpose, architecture and regulatory framework
• Trading book and banking book concepts
• Standardised Approach structure
• Sensitivities-Based Method
• Delta, Vega and Curvature risk
• GIRR
• Credit Spread Risk
• Equity Risk
• Commodity Risk
• FX Risk
• Intra-bucket and inter-bucket aggregation
• Low, Medium and High correlation scenarios
• Default Risk Charge
• Jump-to-Default calculations
• Hedge Benefit Ratio
• Residual Risk Add-On
• Exotic and residual risks
• SA capital aggregation
• Internal Models Approach architecture
• Expected Shortfall
• Liquidity Horizons
• Liquidity Horizon scaling
• Stress period selection
• Reduced set of risk factors
• Risk Factor Eligibility Test
• Modellable and Non-Modellable Risk Factors
• NMRF capital
• P&L Attribution Test
• Hypothetical P&L and Risk-Theoretical P&L
• Spearman correlation
• Kolmogorov-Smirnov testing
• Backtesting
• VaR exceptions
• Trading desk eligibility
• IMA capital aggregation
• Model governance
• Data requirements
• Regulatory reporting
• Implementation controls

1. Comprehensive FRTB handbook

The package includes a structured professional handbook that develops the subject progressively from introductory concepts to advanced FRTB methodology.

The explanations use simple professional language while retaining the mathematical detail required to understand regulatory capital calculations.

The handbook includes equations, worked numerical examples, regulatory interpretation, calculation logic, implementation considerations and practical observations.

Regulatory requirements are clearly separated between the Basel framework and jurisdiction-specific implementation considerations where relevant.

2. 100 FRTB flashcards

The package contains 100 professionally structured flashcards covering important FRTB concepts, formulas, terminology and regulatory mechanics.

Each flashcard contains a question on the front and the corresponding explanation on the reverse.

The flashcards can be used for:

• Interview preparation
• Rapid revision
• Regulatory terminology
• Formula recall
• Certification-style self-testing
• FRTB implementation training

The cards are provided in interactive offline format and downloadable formats suitable for further study.

3. Offline interactive FRTB laboratory

A major component of the package is the downloadable interactive FRTB laboratory.

The lab runs locally in a browser and does not require an internet connection.

Users can change sensitivities, correlations, risk weights and other parameters and immediately observe the effect on regulatory calculations.

Interactive topics include:

• SBM aggregation
• GIRR sensitivities
• Delta calculations
• Vega calculations
• Curvature
• Correlation scenarios
• DRC
• Jump-to-Default
• Hedge Benefit Ratio
• RRAO
• Expected Shortfall
• Liquidity Horizons
• RFET
• Modellability
• PLA
• Backtesting
• Stress scaling

The lab is designed to help users understand the behaviour of the calculations through experimentation.

4. FRTB interview question bank

The package includes a detailed collection of FRTB and market-risk interview questions with complete answers.

Questions range from fundamental concepts to senior practitioner and quantitative topics.

The interview material covers areas commonly discussed in roles involving:

• Market Risk
• FRTB implementation
• Regulatory capital
• Model development
• Model validation
• Quantitative risk
• Risk technology
• Risk consulting
• Capital optimisation

The interview bank also includes scenario-based questions that test whether the candidate can explain the economic and regulatory reasoning behind the formulas.

5. Worked FRTB case studies

The package contains practical calculation exercises with step-by-step solutions.

Examples cover topics such as:

• Sensitivity risk weighting
• Bucket aggregation
• Correlation effects
• DRC calculations
• JTD
• HBR
• RRAO
• Expected Shortfall
• Liquidity Horizon adjustments
• RFET
• PLA interpretation

These exercises are intended to bridge the gap between understanding the regulation and being able to apply it to actual risk data.

6. Formula and threshold reference guide

A compact reference document provides the main equations, thresholds, definitions and calculation relationships used throughout FRTB.

It is designed for quick reference during:

• Project work
• Interviews
• Model reviews
• Regulatory discussions
• Capital analysis
• Implementation testing

7. Implementation and control toolkit

The package also includes practitioner-oriented implementation material covering areas such as:

• Trade population completeness
• Risk-factor mapping
• Sensitivity validation
• Bucket assignment
• Risk-weight mapping
• Correlation mapping
• Tenor mapping
• Data reconciliation
• DRC inputs
• RRAO identification
• Modellability data
• RFET observations
• PLA inputs
• Backtesting data
• Regulatory reporting controls

This makes the package useful for professionals working on actual FRTB implementation or validation programmes.

8. FRTB data dictionary

The package includes a structured data dictionary describing important data fields typically required across SA and IMA implementations.

It can be used as a starting point for:

• Data requirements
• System specifications
• FRTB data mapping
• Gap analysis
• Implementation planning
• Risk-data governance

9. Career and interview preparation resources

The package contains additional material designed to help professionals translate technical knowledge into career outcomes.

This includes:

• Structured learning roadmap
• 30-day study plan
• Interview preparation
• Quantitative exercises
• Practitioner case studies
• Implementation questions
• Formula revision material

Who should use this package?

The package is designed for:

• Market Risk Analysts
• Market Risk Managers
• FRTB SMEs
• Quantitative Analysts
• Risk Quants
• Model Developers
• Model Validators
• Risk Consultants
• Regulatory Capital Professionals
• Treasury and Capital professionals working with market risk
• Risk Technology professionals
• Graduate and experienced candidates preparing for market-risk interviews

Learning outcome

After completing the package, a user should be able to explain the architecture of FRTB, understand how SA and IMA capital are calculated, interpret the major regulatory formulas, work through representative numerical examples, identify common implementation issues, discuss FRTB confidently in interviews and participate meaningfully in an FRTB implementation, validation or regulatory-change programme.

The package is designed as a professional reference that can continue to be used during project work after the initial learning process is complete.