RCA-01 · Capital & Quantitative Risk · FRTB IMA · Educational / Pre-Validation

FRTB IMA Expected Shortfall Pre-Validator

Educational simulator for FRTB Internal Models Approach (IMA) Expected Shortfall computation across a synthetic trading book. Covers liquidity horizons LH1–LH5 (10–120 days), NMRF surcharge estimation, PLA test status, and IMA capital vs SA floor comparison. For pre-validation and educational scenario analysis ahead of UK IMA go-live January 2028. All computation is client-side — no trading book data transmitted.

simulate_frtb_es risk_parameter FRTB MAR30–33 UK IMA Jan 2028 PLA Test NMRF Surcharge
Educational / Pre-validation only. This tool uses synthetic position data and a simplified FRTB IMA model for scenario analysis. It does not constitute a regulatory-grade IMA calculation. UK FRTB IMA go-live: January 2028 (PRA CP17/25). EU: ~2029–30. All inputs are synthetic or user-provided; no data is transmitted.
Preset 1
Equity Book
50 positions · 3 LH classes · 5% NMRF
Preset 2
Mixed Rates Desk
100 positions · 4 LH classes · 10% NMRF
Preset 3
Large Mixed Book
200 positions · 5 LH classes · 15% NMRF
Chain Intake — paste AP2 JSON from QFA-02 (Portfolio VaR) or SIM-03 (Basel RWA)