ICAAP and ILAAP
We assemble the internal capital and liquidity adequacy assessments as one document, pulling the component models, scenarios and stress results into the narrative your board signs and your supervisor reads.
Banking Stress
Testing
How the capital and liquidity plans hold up under severe stress, and the internal assessments that evidence it to your supervisor.
Stress Testing Deliverables
Scenario Analysis
We build the adverse scenario models your capital plan is tested against, and calibrate each severity to a stated likelihood.
Pillar 2A
We quantify the risks the Pillar 1 formulas leave out, including credit risk concentrated by name, sector and region, pension obligation risk and interest rate risk in the banking book, and price each as an addition to capital.
Pillar 2B
We test the business plan against its downside and then keep pushing until it breaks, so the capital planning buffer and the reverse stress test come off the same models and the same assumptions.
Liquidity
We design and run the scenarios that evidence sufficient liquidity under severe stress, and build the supporting assessment.
Banking Case Studies
Banking
Independent validation of a Pillar 2A concentration add-on
A European bank needed to know that the capital it holds against concentrated lending would stand up to scrutiny, so it asked us for an independent view of the model behind the number.
Banking
Redeveloping every IFRS 9 model across two portfolios
A UK lender needed every model in its IFRS 9 expected credit loss suite rebuilt, at the point when the team that had built them was no longer there.
Frequently Asked Questions
-
Stress testing is judged on the evidence pack rather than the headline ratio, so ask what a bidder actually hands over. At Gini we design the scenarios, run them through your provisioning and capital models, and write the evidence pack: ICAAP, Pillar 2B, reverse stress testing and climate scenarios, with the assumptions traceable to the models that consumed them.
-
Yes. Gini’s reviews usually find one of two things: scenarios that are severe in narrative but mild once translated into the variables the models consume, or management actions credited in the projection that nobody has committed to. Both are fixable without touching the models, and both are what supervisory challenge finds first.
-
Severe enough to bind, and calibrated to your own concentrations rather than to a published system-wide scenario. A lender concentrated in one region or one product is stressed by variables a national scenario barely moves, so at Gini we build the scenario from where your losses would actually come and document why each path was chosen.
-
It starts at failure and works backwards to the conditions that would cause it, so the output Gini hands your board is a threshold rather than a ratio under a given path. Boards tend to engage with it more, because it names the level of loss or outflow the firm cannot absorb instead of confirming that a chosen scenario is survivable.
