The favela appears to be split into three separate gang territories which are enterable in Chapter VII. The area between where Max Payne enters the favela and the old abandoned train car (including the strip club) appears to be the teritory of the Filhos de Ogum, the area between the train car and the house Max blows up with the fireworks appears to belong to the Tropa Z and the area between that house and Serrano's hideout appears to belong to the Comando Sombra. This is evident by the gang grafitti in these areas and the comments made by Max upon entering them.
In Max Payne 3, Max goes to the favela to rescue Fabiana Branco, who was kidnapped by the Comando Sombra.
Behind the scenes
Nova Esperança is featured as a playable map in Multiplayer.
The location was first mentioned in the police record of the Comando Sombra, in the main website of Max Payne 3.