Cat-26 · T398 · Basel IV / FRTB / Model Risk
v1.0 FRTB MAR30–MAR33 IMA Eligibility Policy Mandate Export

FRTB Trading Desk Structure & IMA Eligibility Assessor

Maps trading desk boundaries and tests Internal Models Approach (IMA) qualification criteria under FRTB (Basel IV MAR30–MAR33). Outputs IMA eligibility verdict, back-testing colour zone per MAR32, P&L attribution test result, desk classification, and fallback capital add-on estimate. All client-side — zero data transmitted.

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Regulatory basis — BCBS MAR30–MAR40 (FRTB), CRR3 Art. 325a–325az, EBA RTS on IMA. Back-testing thresholds per MAR32.41–32.43. Deterministic rule-based logic · zero PII · CC BY 4.0. Verify against current primary sources before use in capital calculations or regulatory submissions.
Trading Desk Inputs
IMA Eligibility Verdict
Back-Testing Zone & Capital Add-On (MAR32.41–32.43)
Desk Classification & Risk Factor Coverage
Assessment Summary