Climate &
Market Risk

At Gini we calibrate physical and transition pathways, quantify the effect on credit quality and capital, and produce the disclosures your supervisors require. On market risk we build and independently validate value at risk, expected shortfall and FRTB models with backtesting against realised outcomes, counterparty exposure and valuation adjustment models, and interest rate risk in the banking book on both required views.

Yes. Trading book validation covers value at risk, expected shortfall and FRTB models, with backtesting against realised outcomes and a review of the exceptions that backtest produced. On interest rate risk in the banking book Gini tests both required views, economic value of equity and net interest income, and presses hardest on the behavioural assumptions, since the effective maturity of your non-maturity deposits usually moves the answer more than the rate shocks do.

At Gini we start from the published physical and transition pathways and recalibrate them to the exposures you actually hold, then translate them into the macroeconomic variables your provisioning models already consume. Physical damage is modelled against the individual property securing your lending, not against a regional average. Transition risk is quantified where the carbon exposure sits, which for most UK lenders concentrates in a few sectors.