Investment Banker
FRTB-SA and IMA in Excel & Python
Overview
Gain hands-on expertise in FRTB-SA and IMA with Excel and Python. Learn Expected Shortfall modelling, sensitivity aggregations, and capital charge calculations under Basel III.
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45 Hours of Learning
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1K+ Learners
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45,000 (incl. GST)
Skills You Will Learn
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FRTB-SA implementation
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IMA modelling techniques
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Excel ES computation
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Python ES modelling
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Sensitivity aggregation methods
Course Key Highlights
- Comprehensive coverage of FRTB SA and IMA frameworks
- Build FRTB-SA models in Excel and Python
- Compute Expected Shortfall using multiple techniques
- Perform sensitivity aggregations under SA approach
- Calculate capital charges under Basel III rules
- Model IMA-based Expected Shortfall in Python
- Learn trading book risk capital requirement processes
Course Time
Includes:
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Self-paced
Modules -
Case studies
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Assessments
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45 Hours of Learning
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FAQs
Does this course cover both SA and IMA approaches?
Yes, it covers Standardized Approach (SA) and Internal Models Approach (IMA) for FRTB.
Will I learn Expected Shortfall modelling?
Yes, ES computation and modelling are included in Excel and Python.
Is capital charge calculation part of the syllabus?
Yes, you will learn capital charge calculations under Basel III.
What tools are used in the course?
The course uses Excel and Python for modelling and analysis.
Does the course focus on practical implementation?
Yes, the training includes hands-on modelling and application of FRTB rules.
