FRTB
Basel IV
CRR III
IMA
SA
market risk
trading desk
P&L attribution
NMRF
EU 2027
capital requirements
risk factors

FRTB Internal Model Approach (IMA) Eligibility Checker

Determines whether a trading desk qualifies for the FRTB Internal Model Approach (IMA) or must use the Standardised Approach (SA) per CRR III provisions binding from January 1, 2027 in the EU. Runs P&L attribution test (PLAT) indicators per CRR III Art.325bh, risk factor modellability (NMRF) assessment per Art.325bj, and backtesting failure threshold evaluation per Art.325bi. Outputs AP2 mandate.

Tool URL: https://ainumbers.co/tools/340-frtb-internal-model-eligibility-checker.html AP2/Policy Mandate export: yes

post/v1/tools/frtb_ima_eligibility_checker

Request

  • Base URL: https://ainumbers.co
  • URL: https://ainumbers.co/v1/tools/frtb_ima_eligibility_checker
  • Auth: none declared

Request body

desk_type'equity' | 'fx' | 'rates' | 'credit' | 'commodity' | 'securitisation' required

Trading desk asset class

backtesting_exceptionsnumber required

Number of 1-day 99% VaR exceptions in last 250 trading days

spearman_correlationnumber
modellable_ratio_pctnumber

Response

Successful tool execution result

eligibleboolean

Whether the desk is IMA-eligible

plat_zone'green' | 'amber' | 'red'
backtesting_zone'green' | 'amber' | 'red'
nmrf_zone'green' | 'amber' | 'red'
verdictstring
capital_saving_vs_sa_mnumber

Changes

No recorded changes to this operation across all 1 revision of this API.