Modeling Euro Area Sovereign Bonds

An application

In this project we show the interaction between quantitative and qualitative analysis to perform an strategy with Eura Area Sovereign Bonds.

First we built a quantitaive model to valuate risky bonds using the risk free rate and default probabilities as a parameters. Then we make an analysis about the past behaviour of certain parameters in order find some patterns to help us have a better understanding about the possible future scenarios for them. Finally, using the model we quantified the effect of changes in the parameters to know how would be the bond prices if our view actually occurs.

Link to the paper