We discuss the importance of the debt management in its sustainability. At first, we define unsustainability periods of the public debt in an alternative way, if compared to the current literature. Using probabilistic models with unsustainability dependent dummy variable, we find empiric evidences that composition and duration of the debt influence the probability that unsustainability periods might occur, for the period between January 1996 and September 2005. In a second step, we use the risk management approach to analyze the debt sustainability. We include in this approach an analysis of the decomposition of the public debt. Applying Bootstrap and Monte Carlo simulations, we obtain some explosive trajectories of the public debt, although in the lack of risk, there is sustainability. In addition, we estimate risk statistics of the debt and we find reasonable correlation between these and the country risk. Finally, we observe that Selic interest rate and foreign currency indexed bonds raise the probability of unsustainability.