Internal Rating Models
We build and independently validate internal rating models for the private assets you hold, such as infrastructure, private placements and property lending, mapped to the agency scales your capital treatment depends on.
Insurance Credit
Risk
The credit quality of what you hold: private assets, counterparties and illiquid positions, rated and validated for the capital you carry against them.
Credit Risk Deliverables
Counterparty Exposure Modelling
We build and independently validate exposure models for the failure of a reinsurer, bank or trading counterparty, with collateral and offsets recognised.
Low Default Portfolio Modelling
We estimate default risk on portfolios with very few observed defaults, combining the available data with structured expert judgement.
Illiquid Asset Modelling
We build the risk and valuation models for illiquid holdings, including internal model design and calibration and the securitisation of equity release mortgage portfolios.
Frequently Asked Questions
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This is a credit problem before it is an actuarial one, which is why it sits here. At Gini we build internal ratings for private placements, infrastructure debt, commercial real estate lending and equity release, evidence the rating basis to the standard the Matching Adjustment and the capital calculation require, and validate ratings you already assign.
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Yes. Gini tests whether the rating scale discriminates on realised experience, whether the mapping to external scales is evidenced or asserted, and whether the documentation lets a reviewer reproduce a rating from the inputs. Ratings assigned by judgement can be perfectly defensible, provided the judgement is recorded.
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From the cashflows and the security rather than from a comparator. At Gini we apply the same discipline we would to a loan: what has to happen for the asset to pay, what happens if it does not, and what the recovery would be. The uncertainty is quantified and stated rather than resolved by choosing a rating that looks reasonable.
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Directly. The rating drives the capital charge and, for Matching Adjustment portfolios, the fundamental spread, so Gini builds the rating basis and the capital calculation together, and the two reconcile by construction. Assigning ratings in one place and calculating capital in another is how the two come to disagree.