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IFS – Index Forecasting System

IFS is Riskflow’s Index Forecasting System. Through a simple user interface IFS allows the user to forecast future index rates based on historical correlations. IFS makes use of advanced forecasting models and statistical methods to create these forecasts in an easy to use manner.

Forecasting

The user imports a selection of interest rates, indices and yield curves and defines one that they believe to be a prominent driver in the economy. IFS programmatically correlates the rates, rejecting any rates that fall below a user defined threshold.

There is a selection of five forecasting models to choose from. Detailed knowledge of statistics is not required as there is an option for the system to select the best suited model for the given data set.
Given a user's forecast of the driving rate the IFS system computes the forecast for all other imported rates. In the forecast procedure the system considers the fact that rates do not react in the same time period (a shift in one rate this month may only reflect on another rate in 3 months as the market takes time to adjust) and so the forecasts are adjusted according to the leads or lags in the rates.

Monte Carlo

Beyond straight forecasting IFS can be used to generate Monte Carlo scenarios, but what makes IFS stand out is that the Monte Carlo generations are not simply a randomisation of market rates but uphold certain relationships. For example if two rates have maintained a spread of 350 bps over the last ten years, then it is impractical for scenario planning to allow these rates to randomly deviate from one another. Thus the Monte Carlo are generated in such a way that the user is never left basing decisions on unrealistic forecasts.

Additionally - IFS is packaged with a beautiful graphic display. All rate views and Monte Carlos are viewed through a sleek and interactive graphing system that brings your data to life. IFS can also convert different maturity bands into yield curves for that edge when examining market trends.

Downloads

Riskflow IFS Brochure

Riskflow IFSBrochure

Download PDF

Index Forecasting System
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