FRTB Process Optimisation & Training

FRTB changes far more than calculation logic — it cuts deep into organisational structure and workflows: front office, risk control, finance and IT have to realign data, responsibilities and processes. In practice, the greatest friction arises at the interfaces — for instance in the trading book/banking book boundary, the desk structure or the data quality required for sensitivities and risk factors. Models and systems can be bought; working processes and capable people cannot. If business functions do not genuinely understand the logic of the Standardised Approach and the IMA, the result is misinterpretation, manual workarounds and operational risk. That is why we consistently combine process optimisation with role-specific training: together, these two levers determine whether FRTB works efficiently, audit-proof and sustainably in daily operations.

We begin with a structured as-is assessment of your end-to-end processes — from the delivery of market data and sensitivities through calculation under the Standardised Approach or IMA to supervisory reporting.

🔍 Typical steps:

Our training is strictly role-specific, because a trader needs different FRTB content than a market risk controller or a board member. For executives and board members we deliver compact briefings on capital impact, desk structure and steering implications. Market risk control receives methodological depth on the Standardised Approach, IMA, Expected Shortfall, P&L attribution and backtesting. For trading and front office we focus on desk requirements and the implications for trading strategies; for IT and data teams on data requirements and interfaces. Formats include on-site workshops, remote sessions, compact deep-dives and e-learning modules — individually or as a combined curriculum, complemented by train-the-trainer programmes. All content is tailored to your systems, processes and implementation status rather than generic standard slides.

The two approaches place very different demands on your teams. Training on the Standardised Approach addresses a broad audience and covers the sensitivities-based methodology with delta, vega and curvature risk, the Default Risk Charge and the Residual Risk Add-On — including the data requirements this creates for front office and risk control. IMA training goes considerably deeper into quantitative methodology: Expected Shortfall with liquidity horizons, the treatment of non-modellable risk factors (NMRF), the P&L attribution test and desk-level backtesting. Added to this are the procedural requirements of desk approval and the ongoing evidence obligations towards supervisors. We often recommend a tiered curriculum: a shared methodological foundation for everyone involved, followed by advanced modules by role and approach.

One-off training fades quickly if it is not anchored organisationally. That is why we combine knowledge transfer with structural measures.

🔍 Our levers for sustainability:

The benefits show on several levels. Operationally, error rates and manual interventions fall, FRTB calculation run times shorten, and risk control regains capacity for genuine analysis instead of data maintenance. From a regulatory perspective, sound processes and demonstrably trained staff strengthen your position in examinations — documentation, controls and evidence of competence are central areas of supervisory scrutiny. Economically, you reduce operational risk and avoid the cost of miscalculations, rework and ad-hoc support. Strategically, you lower dependency on key individuals and create the foundation to implement future regulatory developments under your own steam. At the outset we jointly define measurable indicators — such as processing times, error and rework rates or training coverage — making progress transparent for management and supervisors alike.