Expertise

With years of combined experience, our core team is poised to delivered results to clients and investors.

Developed Debt Markets Expertise

30 Years of Experience with Financial Modeling

  • Prepayment modeling
  • Default modeling
  • Return modeling and return attribution
  • Interest rate modeling
  • Hedging portfolios of fixed income securities and derivatives
  • Pricing complicated fixed income securities and derivatives

Years of Experience in the ABS Markets (MBS, CMBS, CMO, CDO, CLO)

  • Provided consulting and pricing for portfolios of CMOs during chaotic markets in the early 1990’s.
  • Managed ABS portfolios and provided risk analysis during market the credit crisis of 2008
  • Experience with tracking collateral performance of ABS, CMOs, CMBS, CDOs and CLOs over decades of market development.

Years of Experience with Credit Risk Management

Years of Experience with Hedge Funds

  • Participated in the start-up of various hedge funds
  • Managed or co-managed through the 1998 Hedge Fund Crisis
  • Managed risk in San Gabriel Hedge Fund at Western Asset Management for 2 years.

Years of Experience with Risk Management

  • Provided consulting and pricing for a portfolio of complicated MBS derivatives for hedge funds and investment managers.

Years of Experience with Cash Flow Modeling and Reverse Engineering

  • Modeling CMOs, CMBS, and ABS
  • Modeling CDOs and CLOs

Experience in Latin American Markets

  • 3 years of Experience tracking FIDC performance in asset portfolios
  • Authors of case studies on FIDC performance and analysis
  • 20 years of combined experience with tracking credit underwriting and credit management in Brazil.
  • 6 years of experience with credit recovery in Brazil
  • Experience with real estate, corporate credit and personal credit in Brazil.
  • Developed vector autoregression models to predict credit defaults for Brazilian financial markets.
  • 20 years of legal experience in Brazil.
  • Experienced with developing models for performance Brazilian credit portfolios.
Research

1995 – Published articles on modeling whole prepayments in the United States. (Handbook of Mortgage-Backed Securities, 1995).

2006 – Published article in the Journal of Portfolio Management  – Using Style Analysis to Benchmark Portfolio Performance.

2012 – Published article in the Journal of Structured Finance – Analyzing Brazilian ABS: Fundos de Investimento em Direitos Creditórios.

2012 –  Published article in the Journal of Structured Finance –  Pricing Brazilian ABS to Trade in the Secondary Market: Benefits from Assimilating Best Pricing Practices.