Christina Erlwein-Sayer is Professor of Statistics and Financial Mathematics at Hochschule für Technik und Wirtschaft (HTW) Berlin. Previous to this, she worked at OptiRisk Systems as a quantitative analyst and senior researcher working on the topic of financial analytics and modelling for portfolio construction and credit risk assessment. Christina completed her PhD in Mathematics at Brunel University, London in 2008. She then worked as a researcher and consultant in the Financial Mathematics Department at Fraunhofer ITWM, Kaiserslautern, Germany. Christina has extensive experience in research and has worked on several R&D projects, the most recent of which was a multi-million pound project funded by EU. She has also led training workshops on the topics of financial modelling, scenario generation and regime detection.
Enhanced prediction of sovereign bond spreads through Macroeconomic News Sentiment
Sovereign bond spreads are modelled taking into account macroeconomic news sentiment. We investigate sovereign bonds spreads of European countries and enhance the prediction of spread changes by including news sentiment. We conduct a correlation and rolling correlation analysis between sovereign bond spreads and accumulated sentiment series and analyse changing correlation patterns over time. These findings are utilised to monitor sovereign bonds, predict spread changes in an ARIMAX model and highlight changing risks. The results are integrated in the SENRISK tool, a DSS for Bond Risk Assessment.