Analytical Modeling

Latin America Structured Finance has set up a fund structure to manage Latin American asset-backed securities and the collateral. We combine a strong fundamental approach to investment analysis with sophisticated proprietary quantitative tools.  Our primary focus is Brazilian Asset-backed Securities.

Our firm’s areas of expertise include:
  • Fundamental Analysis of Credit Portfolios
      • Evaluate underwriting and servicing capability of the issuer
      • Due diligence of services offered by the administrator and custodian
      • 20 years experience in managing receivables and credit
      • Extensive legal experience in servicing debt and bad debt recovery
  • Quantitative Analysis and Deal Structuring
      • Reverse-engineer Models of FIDCs, FIIs and CRIs
      • Monitor the Deal Performance of FIDCs, FIIs, and CRIs
      • Credit Market Research and Surveillance
      • Structure Valuation and tranche/quota pricing
      • Consult on deal structure and structure design
      • Hedging with derivatives or liquid securities
  • Reverse-Engineering Deals
      • Accurate forecasts of cash flows
      • Backtesting to verify models
      • Open and Closed
      • FIDCsFIDCs with multiple series
      • Combine multiple types of assets.
  • Interest Rate Models
      • Arbitrage-free interest rate process permits more accurate values and simulations.
      • Linear Path Spaces allows the models to run simulations in an arbitrage-free environment.
      • Models tuned up daily to fit spot curves.
  • Credit Default Models
      • Vector auto-regression macroeconomic model
      • Forecasts defaults given forecasts for inflation, interest rates, and industrial production for exogenous variables
      • Endogenous variables are the general level of defaults and interest rates for the given credit category.
      • Forecasts provided for each category of the Central Bank of Brazil database