Specialist toolkit for Basel IV implementation, FRTB market risk capital, and model risk management. From SR 26-02 gap analysis and FRTB IMA eligibility assessment to P&L attribution test simulation, SA-CCR exposure calculation, CVA capital framework selection, and Basel III Endgame capital impact estimation — all browser-based, all client-side, zero data transmitted.
Seven standalone browser tools covering model risk management, FRTB internal model eligibility, PLAT simulation, SA-CCR exposure, CVA capital framework selection, and Basel III Endgame impact estimation. All tools run in your browser — no account, no data transmission.
Assess your model risk management framework against the Federal Reserve's SR 26-02 guidance. Gap analysis across model development, validation, governance, and documentation domains. Scored compliance matrix with remediation priorities. Covers SR 11-7 / SR 26-02 model risk lifecycle requirements.
Open ToolAssess whether a trading desk meets FRTB requirements for Internal Model Approach (IMA) approval. Checks qualitative and quantitative criteria under MAR30–MAR33: backtesting, P&L attribution test, risk factor eligibility, and governance requirements. Pass/Fail/Conditional verdict with gap report.
Open ToolEvaluate trading desk structure against FRTB MAR22 desk-level requirements for IMA eligibility. Assess desk demarcation, desk-level P&L, risk factor scope, and stress scenario coverage. Recommended desk boundary adjustments and IMA candidacy scoring by desk.
Open ToolSimulate the FRTB P&L Attribution Test (PLAT) under MAR32. Inputs: hypothetical P&L vs. risk-theoretical P&L distributions. Calculates mean ratio and variance ratio metrics. Determines Green, Amber, or Red zone classification. Models the impact of Amber zone capital surcharge on IMA desk requirements. Covers BCBS MAR32 PLAT methodology.
Open ToolCalculate counterparty credit risk Exposure-at-Default (EAD) under the Standardised Approach for Counterparty Credit Risk (SA-CCR) per Basel IV / CRR3. Inputs: netting set, replacement cost, add-on by asset class (IR, FX, credit, equity, commodity). Aggregated EAD output with alpha multiplier and margin treatment. Covers BCBS CRE52 / CRR3 Art. 274–280.
Open ToolDetermine which CVA capital framework applies to your derivatives portfolio under Basel IV / CRR3. Inputs: portfolio composition, counterparty types, hedging instruments, and regulatory eligibility. Evaluates BA-CVA, SA-CVA, and full internal model eligibility. Outputs recommended framework with capital impact comparison. Covers BCBS CRE99 / CRR3 Art. 383–386.
Open ToolEstimate the capital impact of Basel III Endgame / CRR3 implementation on your institution. Inputs: RWA composition by risk type, current capital ratios, internal model usage. Calculates output floor impact (72.5% floor), SA uplift by asset class, and aggregate CET1 headroom change. Scenario analysis for phased-in implementation timelines. Covers BCBS Basel III output floor / CRR3.
Open Toolv1.0 · June 2026 · 7 tools · Category 26 · Basel IV / FRTB / Model Risk
Follow this structured workflow for a comprehensive Basel IV / FRTB implementation assessment.
Start with T339 SR 26-02 MRM Gap Analyzer to establish your baseline model risk management posture against regulatory expectations.
T339Simulate the P&L Attribution Test using T399 to determine Green/Amber/Red zone classification and model any capital surcharges for Amber-zone desks.
T399Use T400 to compute counterparty credit risk EAD under the Standardised Approach for CCR across your netting sets and asset classes.
T400Determine whether BA-CVA, SA-CVA, or full internal model is appropriate using T401. Compare capital requirements across framework options.
T401Complete the workflow with T341 to model aggregate capital impact including output floor effects and phased-in implementation scenarios.
T341Model Basel III Endgame output floor impact, SA-CCR EAD calculation, and CVA capital framework selection for CET1 capital planning.
Assess IMA eligibility by desk, run PLAT simulations, and evaluate desk boundary decisions. Identify Amber-zone desks early before regulatory submission.
Gap-assess your model risk management framework against SR 26-02. Identify validation coverage gaps and governance deficiencies before examination.
Calculate SA-CCR EAD for counterparty credit risk capital and model CVA capital framework options (BA-CVA vs. SA-CVA) for derivatives portfolios.
Estimate aggregate Basel IV capital impact for business planning, strategic RWA optimisation, and capital allocation across business lines.
Map tool outputs to CRR3 implementation timelines, regulatory dialogue preparation, and internal model approval documentation requirements.
Tools in this hub are mapped to obligations under the following frameworks. Verify current applicability with qualified legal and risk counsel.
EU Capital Requirements Regulation III (CRR3) transposes the final Basel IV reforms. Output floor at 72.5%, SA revisions, FRTB, SA-CCR, CVA. Phased EU implementation from Jan 2025 to Jan 2030.
BCBS Fundamental Review of the Trading Book. MAR20 scope, MAR22 desk-level IMA, MAR30–33 IMA requirements, MAR32 P&L Attribution Test, MAR33 backtesting. IMA vs. SA treatment by desk.
Standardised Approach for Counterparty Credit Risk replaces CEM and SM. BCBS CRE52 / CRR3 Art. 274–280. Replacement cost + add-on by asset class with netting and margin recognition.
CVA capital reform under Basel IV. BA-CVA (reduced / full), SA-CVA with eligible hedges, exemptions for non-financial counterparties. BCBS CRE99 / CRR3 Art. 383–386.
Federal Reserve model risk management guidance. SR 11-7 (2011): conceptual soundness, ongoing monitoring, governance. SR 26-02 (2026): enhanced MRM for large institutions — AI/ML models, model inventory, validation independence.
72.5% floor on RWA calculated using internal models vs. standardised approach floor. Phased from 50% (2025) to 72.5% (2030 EU). Direct capital impact on model-intensive banks with low SA RWA ratios.
All 7 tools expose structured outputs compatible with the AINumbers MCP manifest for integration with agent runtimes and risk management systems.
| Tool ID | MCP Name | Key Inputs | Output |
|---|---|---|---|
| T339 | assess_model_risk_mgmt_gaps | framework_domains[], institution_type, model_inventory_size | gap_matrix{}, scored_domains{}, remediation_priorities[] |
| T340 | check_frtb_ima_eligibility | desk_profile{}, backtesting_results{}, plat_results{} | eligibility_verdict, gap_report{}, conditions[] |
| T398 | assess_trading_desk_ima_structure | desks[], risk_factor_scope[], pnl_attribution{} | desk_scores{}, boundary_recommendations[], ima_candidates[] |
| T399 | simulate_pnl_attribution_test | hypothetical_pnl[], risk_theoretical_pnl[], observation_period | mean_ratio, variance_ratio, zone_classification, capital_surcharge |
| T400 | calculate_sa_ccr_ead | netting_sets[], asset_class_addons{}, margin_agreement{} | replacement_cost, pfe_addon, ead, alpha_multiplied_ead |
| T401 | select_cva_capital_framework | portfolio_composition{}, hedge_instruments[], counterparty_types[] | recommended_framework, capital_comparison{}, eligibility_flags[] |
| T341 | estimate_basel_endgame_capital_impact | rwa_by_type{}, capital_ratios{}, model_usage_ratio | output_floor_impact, sa_uplift_by_class{}, cet1_headroom_delta, scenario_table[] |