Greifenberg Digital is a Fintech company headquartered in Vancouver, British Columbia. Founded in 2021, Greifenberg builds proprietary analytic models for corporate bonds using state-of-the-art machine learning algorithms.
Founded by finance professionals with decades of industry experience at bulge-bracket sell side firms as well as buy side experience at top investment organizations and hedge funds
Greifenberg Analytics provides a complete valuation system for corporate bonds and bond portfolios with a proprietary measure of Value at Risk due to default.
Analysis of balance sheets and income statements, as in conventional rating agency methodology.
Contingent Claims Analysis, an application of Black-Scholes-Merton option theory (the issuer of a default-prone obligation has the option to default and thus “put” the assets of the firm to the bondholders).
Financial misstatement risk, evaluated by a Big Data approach that compares the balance sheet and income statements of each obligor to comparable financial statements by other obligors, and identifies possible anomalies in financial statements.
Natural Language Processing (NLP) of commentary from social media and news sources. NLP is a tool that sweeps public sources for changes in sentiment and seeks to capture changes in information in a timely fashion.
Matrix pricing of infrequently-traded bonds allows investors to identify profit opportunities in the less liquid part of the Chinese corporate bond universe. Greifenberg’s proprietary matrix pricing model identifies reference bonds from the liquid universe, and estimates the fair value of illiquid bonds based on the reference price of comparable liquid market, adjusted for the risk characteristics of illiquid bonds.
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