Trading Book Market Risk Modelling
We build and independently validate value at risk, expected shortfall and FRTB models, with backtesting against realised outcomes. We do not take positions or express views on your book.
Market
Risk
Traded positions, counterparties and the interest rate risk in the banking book, measured on the required views and independently checked.
Market Risk Deliverables
Counterparty Credit Risk Modelling
We build and independently validate counterparty exposure and valuation adjustment models: the standardised approach, the internal model method, FRTB-CVA, XVA and margin.
IRRBB Modelling
We measure interest rate risk in the banking book on both required views, economic value of equity and net interest income, including the behavioural assumptions that drive them.
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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At Gini we build and independently validate the models behind the trading book and the banking book: value at risk and expected shortfall with backtesting against realised outcomes, FRTB implementation under the standardised and internal model approaches, sensitivities, counterparty and valuation adjustment models, and interest rate risk in the banking book on both required views. We take no positions on your book.
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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 economic value of equity and net interest income, and presses hardest on the behavioural assumptions, since deposit maturity usually moves the answer further than the rate shocks do.
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For most, the standardised approach and the work sits in the data: risk factor mapping, sensitivities at the granularity the rules require, and the desk structure the capital charge is calculated over. At Gini we run the gap analysis first, because firms frequently find the charge is driven by a small number of poorly mapped positions rather than by the framework itself.
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Yes, where the book warrants it. Gini builds and validates counterparty credit exposure and the valuation adjustments derived from it, using the same discipline applied to credit models: a stated basis, an evidenced calibration and a figure a reviewer can reproduce from the documentation.
