Models

Reverse-Engineering Deals
    • Accurate forecasts of cash flows
    • Historical back-testing to verify models
    • Open and Closed FIDCs
    • FIDCs with multiple series
    • Combine multiple types of assets and structures
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