IRB Modelling
We build and independently validate the probability of default, loss given default and exposure at default models behind internal ratings based capital, under both the advanced and foundation approaches.
IRB
The internal models behind your credit risk capital, from build and validation through to the supervisory application and the packs that follow.
IRB Deliverables
IRB Application Support
We support your application to use internal models for capital, from the initial self-assessment through to supervisory questions.
Automated Reporting Packs
We build your credit risk and model committee packs directly from model output, covering risk weighted assets, the capital behind them and the model performance exceptions that need a decision.
Monitoring Dashboards
We build live dashboards reporting current risk weighted assets, the capital requirement behind them and model performance to the board.
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
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An internal ratings application is decided on evidence rather than on method, so what matters is whether your partner has written the self-assessment and answered the technical questions that follow. At Gini we develop and validate probability of default, loss given default and exposure at default models under the advanced and foundation approaches, run the gap self-assessment, prepare the application pack and support you through supervisory questions to permission.
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Yes. Validation covers discrimination, calibration and stability, the segmentation the model rests on, the margin of conservatism and whether the documentation lets a reviewer reproduce the estimates. Where Gini disagrees with a figure, we build an independent challenger from your raw data and show you exactly where the two diverge. Where a model cannot be repaired, we say so plainly and set out what a rebuild involves.
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For most UK firms it narrows where internal models can be used and raises the floor beneath them, so at Gini we start with a gap analysis on the model estate you hold against the standards as they will apply. That produces a prioritised list: which models need redevelopment, which need only a change submission, and which portfolios are better served by the standardised approach once the floor is applied.
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It starts with a data and gap assessment, because the length of usable default history and the quality of the collateral records set the timetable more than the modelling does. From there a first-time application is a multi-year programme and a model change is measured in months. Gini gives you the sequence and the dependencies before anything is priced, so the plan reflects your data rather than a standard template.