About Senrisk
SENRISK is an EU-funded project that aims at developing a credit risk assessment tool, in which sentiments of news, social media and reports are included in the risk assessment of corporate and sovereign bonds. Sovereign debt is monitored enabling small and medium-sized investors to determine internal country and company ratings. Our tool investigates all current country and company information and market sentiment as well as historical time series to enable a quantitative as well as qualitative analysis of bonds’ inherent risk.
Key facts:
- Duration: 24 months (Workpackage/Tasks List)
- Volume: 1.414.040 €
Consortium
Time Line
Partners
The project consortium consists of partners from the participating countries Austria, Germany and UK:
- United Kingdom (Consortium Leader)
Optirisk Systems Ltd. - Austria
PS Quant OG - Germany
Acatis Research Gmbh - Germany
Fraunhofer Institute For Industrial Mathematics
Resources
- ENHANCED CORPORATE BOND YIELD MODELLING INCORPORATING MACROECONOMIC NEWS SENTIMENT
In this study, we introduce a new method of assessing the credit risk of corporate bonds; where in addition to the historical market data news sentiment data is used. Typically, a higher yield spread is usually associated with higher credit risk. By predicting the upward/downward movement… Read more
- FORECASTING SOVEREIGN BOND SPREADS WITH MACRO-ECONOMIC NEWS SENTIMENT
We analyse sovereign bond spreads from Germany and enhance their modelling and prediction through macroeconomic news sentiment. Sentiment time series are created which mirror the mood in news regarding political and economical issues in European countries… Read more
- MACROECONOMIC NEWS: ENHANCED FORECASTING OF SOVEREIGN BOND SPREADS
Sovereign bond spreads are modelled and forecasted taking into account information gained through macro-economic news sentiment. We investigate sovereign bonds spreads of European countries and enhance the prediction of spread changes by taking into account news sentiment… Read more
Disclaimer
1. Disclosure
OptiRisk as dissemination partner for the SENRISK consortium maintains this website on behalf of all the research partners (Disclosure and information available here).
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