CrTAS study plan

Map the exam blueprint into a one-page coverage matrix that lists every domain, its weight, and the three sub-skills you must be able to perform under each

Define risk appetite, tolerance, and limit hierarchy in your own words and write two worked examples showing how a board-level appetite statement cascades into a desk-level limit

Distinguish the three lines of defense and assign concrete CrTAS-relevant responsibilities (risk function, treasury, internal audit) to each

Compute value at risk for a two-asset portfolio using both the variance-covariance and historical simulation approaches, and record where the two answers diverge

Derive and interpret parametric VaR, expected shortfall, and marginal and component VaR for a multi-position book

Backtest a VaR model using a Kupiec proportion-of-failures test and state whether the model is rejected at 95% confidence

Explain the volatility scaling and correlation assumptions embedded in parametric VaR and identify two situations where each breaks down

Calculate DV01, duration, and convexity for a fixed-income position and translate a 25 basis point shock into a P&L estimate

Price and interpret an interest rate swap and an FX forward, then quantify the mark-to-market exposure profile across the trade lifecycle

Distinguish current exposure, potential future exposure, and expected exposure, and sketch a PFE curve for a 5-year swap

Compute credit valuation adjustment for a single counterparty using a simplified exposure, probability of default, and loss given default input set

Apply a netting set and collateral agreement to reduce exposure and quantify the reduction against the gross figure

Build a probability of default estimate from a structural Merton-style framework and compare it with a through-the-cycle rating approach

Calculate expected loss and unexpected loss for a corporate obligor and explain how each feeds pricing and capital

Interpret credit ratings migration and default rate tables to size a portfolio's credit concentration

Explain wrong-way risk and construct one concrete trade example that creates it

Construct a contractual maturity ladder and compute the liquidity coverage ratio from a simplified inflow and outflow schedule

Compute the net stable funding ratio and identify which asset and liability buckets drive the shortfall

Measure gap analysis and duration of equity for a stylized bank balance sheet under a 100 basis point parallel rate shift

Distinguish funding liquidity risk from market liquidity risk and give one metric for each

Compile a risk and control self-assessment for a treasury process and rate each inherent risk and residual risk on a defined scale

Build a five-by-five risk heat map from your self-assessment output and justify the placement of the top three items

Classify at least six payment and settlement risk events (settlement fails, Herstatt-type timing risk, payment fraud, duplicate instruction) and match each to a control

Describe the components of model risk management (inventory, validation, ongoing monitoring, governance) and apply them to one model you have built in this plan

Design a stress testing program that specifies at least four scenarios, the transmission channels, and the metrics reported for each

Aggregate risk results into a one-page executive risk report with a clear narrative and three recommended actions

Compute risk-weighted assets and the common equity tier 1 ratio for a simplified balance sheet and show the effect of a stress scenario

Reconcile a cash position and explain intraday liquidity monitoring and how a payment queue affects the daily funding need

Re-derive from memory the key formulas across all seven domains and log any formula you could not reproduce

Complete at least 120 timed practice questions weighted to the blueprint and record accuracy by domain

Convert every missed question into a one-line corrective note and re-test the weakest two domains

Rehearse a two-minute verbal explanation of how market, credit, liquidity, and operational risk connect in a single institution