We employ various modeling techniques to … discover or uncover truths about the ever-changing financial products being traded.
PF2 uses scientific techniques to understand financial markets and analyze financial products.
Our primary focus is in the area of FICC – fixed income, commodities and currencies, with a particular expertise in structured finance.
When analyzing private, complex or opaque investments, it is often important to appreciate shortcomings in the data provided, and the limitations of mathematical models employed. Moreover, there is often an asymmetry between the promoter's and the investor's understanding of the product offered at the time of sale.
We employ various modeling techniques to gain a heightened understanding of the relevant financial markets, and to discover or uncover truths about the ever-changing financial products being marketed and traded.
We have designed sophisticated techniques to evaluate various types of complex securities, including structured finance instrument such as mortgage-backed securities (MBS) and collateralized debt obligations (CDOs). We are often consulted on issues of market norms and best practices in the structuring, rating, sale, investment or pricing of hard-to-value securities.
We have also built and implemented models to analyze the risks inherent in them, often in accordance with accounting requirements like FAS 115, 157 and EITF 99-20. (read more)
PF2 supports the creation of PSCF, a bold, quantitative, open-source framework for analyzing and rating sovereign, state and municipal bond issuers.
From an educational perspective, we are excited to host the Banking Simulator, which gives an experienced or novice user the chance to test his or her skills as a CEO or CFO, managing a bank and all of its risks.
Fixed Income Analyses