Central Bank First Deputy Chairman Andrei Kozlov, 41, was gunned down along with his driver in a contract-style attack September 13, 2006 and died the next day in the hospital.
Frenkel was detained last Thursday on suspicion of ordering the murder, and his arrest was sanctioned by a Moscow court Monday.
"We do not acknowledge the charges and intend to prove his [Frenkel's] innocence," lawyer Igor Trunov said, without disclosing any details.
Trunov said Frenkel has refused to give evidence and has withheld his previous evidence.
Kozlov was in charge of bank licensing and closed down VIP Bank, where Frenkel held a top executive position, over alleged money laundering three months before his assassination. Frenkel's lawyer has not confirmed his client's former top position in the bank.
Seven people have so far been detained in connection with Kozlov's murder, and some have reportedly confessed to having been hired to kill the high-profile banking regulator.