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Assessing Banks' Distress Using News and Regular Financial Data




TekijätCerchiello Paola, Nicola Giancarlo, Rönnqvist Samuel, Sarlin Peter

KustantajaFrontiers Media S.A.

Julkaisuvuosi2022

JournalFrontiers in Artificial Intelligence

Tietokannassa oleva lehden nimiFrontiers in Artificial Intelligence

Vuosikerta5

eISSN2624-8212

DOIhttps://doi.org/10.3389/frai.2022.871863

Verkko-osoitehttps://www.frontiersin.org/articles/10.3389/frai.2022.871863/full

Rinnakkaistallenteen osoitehttps://research.utu.fi/converis/portal/detail/Publication/176156801


Tiivistelmä

In this paper, we focus our attention on leveraging the information contained in financial news to enhance the performance of a bank distress classifier. The news information should be analyzed and inserted into the predictive model in the most efficient way and this task deals with the issues related to Natural Language interpretation and to the analysis of news media. Among the different models proposed for such purpose, we investigate a deep learning approach. The methodology is based on a distributed representation of textual data obtained from a model (Doc2Vec) that maps the documents and the words contained within a text onto a reduced latent semantic space. Afterwards, a second supervised feed forward fully connected neural network is trained combining news data distributed representations with standard financial figures in input. The goal of the model is to classify the corresponding banks in distressed or tranquil state. The final aim is to comprehend both the improvement of the predictive performance of the classifier and to assess the importance of news data in the classification process. This to understand if news data really bring useful information not contained in standard financial variables.


Ladattava julkaisu

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