FRTB - Standardized Approach, IMA, and DRC: Lessons 4-6

FRTB - Standardized Approach, IMA, and DRC: Lessons 4-6
Be prepared for FRTB. The new Basel III framework for market risk, also known as FRTB, represents a pivotal change in the way banks’ trading businesses will be capitalized, regulated and managed. These three sessions discuss the three phases for calculating regulatory capital under FRTB’s standardized approach, the internal models approach, and differentiating migration from default risk, aligning DRC to banking book, and implications for capital volatility.


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 Course Experts CRL Credits


Presented By:

Sanjay Sharma, PhD, Founder and Chairman, GreenPoint Global 
John “Jeb” Beckwith, Managing Director,
GreenPoint Global


March 25 - April 15, 2019



Session Length:

Approx. 90 minutes per session

About This Course

Lesson 4, March 25: FRT Standardized Approach

In Lesson 4, Sanjay and Jeb investigate the three phases for calculating regulatory capital under FRTB’s standardized approach including the Sensitivities Based Approach (SBA), the Default Risk Charge (DRC) and the Residual Risk Add-On (RRAO).  They will model a sample portfolio at the regulatory trading desk level, and then examine how netting and diversification is constrained through the roll-up to business unit and enterprise level netting sets. Sample computations will be provided for individual securities and portfolios. Sensitivity analysis is provided as the first building block for desk optimization.

Lesson 5, April 1: FRTB Internal Models Approach (IMA)

In Lesson 5, Sanjay and Jeb analyze the constraints and opportunities provided by FRTB’s internal models approach to regulatory capital attribution. They will cover implementation and testing challenges with sample simulations. They will also explore how new constraints such as extended Liquidity Horizons, non-modellable risk factors, and sensitivity calibration will impact the proprietary of IMA usage in each regulatory trading desk. 


Lesson 6, April 8: Default Risk Charge (DRC) under FRTB

In Lesson 6, Sanjay and Jeb discuss how Basel III’s market risk approach explicitly differentiates migration risk from default risk in the trading book for the first time in regulatory capital. FRTB also ties default risk methodologies to those used in the banking book. Trading books will find increased capital and volatility, particularly in securitization platforms, which will need to be carefully managed. 

Who Should Attend
Heads of Trading Businesses, Trading Desk Heads, Market Risk Managers, FRTB Program Managers, Market Risk Auditors, Enterprise Risk Managers, Liquidity Professionals, Regulatory Capital Professionals, Model Validation Professionals, Market Data Professionals, Regulators, and Supervisors

About Our Experts

  Sanjay Sharma, PhD,  is the Founder and Chairman of GreenPoint Global – a risk advisory, technology, education, legal and compliance services firm headquartered in New York. Founded in 2006, GreenPoint has grown to over 350 employees and over 40 consultants with a global footprint. During 2007-16 Sanjay was the Chief Risk Officer of Discretionary Capital Group and Managing Director in Fixed Income and Currencies Risk Management at RBC Capital Markets in New York. His career in the financial services industry spans over 25 years during which he has held investment banking, risk management and technology transformation positions at Goldman Sachs, Merrill Lynch, Citibank, Moody’s and Natixis. Sanjay is the author of “Risk Transparency” (Risk Books, 2013) has also published several papers. Sanjay is co-author with Jeb Beckwith of the book “Fundamental Review of Trading Book – A Handbook for Practitioners and Regulators”, published by RiskBooks, Incisivemedia (2018).

He is an Adjunct Professor at New York University and Fordham’s quantitative finance programs, and financial markets program at EDHEC in Nice, France. He has served as the Founding Director of the RBC/Hass Fellowship Program at the UC Berkeley, and a member of the Board of Directors of UPS Capital (a Division of UPS). He is a former member of  the Global Board of Directors for Professional Risk International Association (PRMIA). He holds a Ph.D. in Finance from New York University and an MBA from the Wharton School of Business and has undergraduate degrees in Physics and Marine Engineering.

  John “Jeb” Beckwith is Managing Director of GreenPoint’s financial institutions division serving banks and insurers. Jeb brings over 30 years of industry experience in the management of risk, capital markets, lending and transaction banking practices. Prior to joining GreenPoint, he was Managing Director at RBC Capital Markets for 10+ years.  At RBC, Jeb led several front office and risk management groups related to global financial institutions including corporate banking, capital markets cross-sell, regulatory advisory, transaction banking, and trade finance.  Jeb founded RBC’s bank regulatory/ratings advisory team and founded/chaired RBC’s committee to adjudicate global limits for all bank and sovereign counterparty risks. Prior to joining RBC, Jeb held various management and corporate banking positions with increasing levels of responsibility at MUFG, Bank of America and BNY-Mellon. 

Jeb is an Adjunct Professor at New York University’s Tandon School and at Fordham University’s school of financial engineering.  Jeb has published several papers on banking regulation and is co-author, with Sanjay Sharma, of the book: “Fundamental Review of Trading Book – A Handbook for Practitioners and Regulators”, published by RiskBooks, Incisivemedia (2018). 

Continuing Risk Learning Credits: 5

PRMIA Continuing Risk Learning (CRL) programs provide you with the opportunity to formally recognize your professional development, documenting your evolution as a risk professional. Employers can see that you are not static, making you a highly valued, dynamic, and desirable employee. The CRL program is open to all Contributing, Sustaining, and Risk Leader members, providing a convenient and easily accessible way to submit, manage, track and document your activities online through the PRMIA CRL Center. To request CRL credits, please email

 Membership Type Price
 Sustaining, Corporate, and RIM Members $269
 Contributing Member $299
 Non Member $329

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3/25/2019 - 4/15/2019
Virtual Training

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