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.

  • 4 Hours 45 Hours of Learning
  • Learners 1K+ Learners
  • GST Derivatives 45,000 (incl. GST)

What You Will Learn

Apply FRTB-SA rules Implement IMA models Compute Expected Shortfall Perform sensitivity aggregation Calculate capital charges Model ES in Python

Skills You Will Learn

Skills
  • Tick icon

    FRTB-SA implementation

  • Tick icon

    IMA modelling techniques

  • Tick icon

    Excel ES computation

  • Tick icon

    Python ES modelling

  • Tick icon

    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:
  • Time

    Self-paced
    Modules

  • Time

    Case studies

  • Time

    Assessments

  • Time

    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.

Infra

Build real-world FRTB models and master Expected Shortfall computation techniques.

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