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Press news and social media in credit risk assessment: the experience of Banca d’Italia’s In-house Credit Assessment System

Author

Listed:
  • Giulio Gariano

    (Bank of Italy)

  • Gianluca Viggiano

    (Bank of Italy)

Abstract

This article uses press news and Twitter messages to improve the predictive power of the ICAS rating model of Banca d’Italia. We construct two credit sentiment indicators that display a good discriminating power and marginally increase the discriminating power of the ICAS. Scores based on press news prove more effective than those based on Twitter messages.

Suggested Citation

  • Giulio Gariano & Gianluca Viggiano, 2022. "Press news and social media in credit risk assessment: the experience of Banca d’Italia’s In-house Credit Assessment System," Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems) 24, Bank of Italy, Directorate General for Markets and Payment System.
    • Handle: RePEc:bdi:wpmisp:mip_024_22
    as

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    File URL: https://www.bancaditalia.it/pubblicazioni/mercati-infrastrutture-e-sistemi-di-pagamento/approfondimenti/2022-024/N.24-MISP.pdf
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    References listed on IDEAS

    as
    1. Lara Cathcart & Nina M. Gotthelf & Matthias Uhl & Yining Shi, 2020. "News sentiment and sovereign credit risk," European Financial Management, European Financial Management Association, vol. 26(2), pages 261-287, March.
    2. Tsai, Feng-Tse & Lu, Hsin-Min & Hung, Mao-Wei, 2016. "The impact of news articles and corporate disclosure on credit risk valuation," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 100-116.
    3. Francesco Ciampi & Niccolò Gordini, 2013. "Small Enterprise Default Prediction Modeling through Artificial Neural Networks: An Empirical Analysis of Italian Small Enterprises," Journal of Small Business Management, Taylor & Francis Journals, vol. 51(1), pages 23-45, January.
    4. Filippo Giovannelli & Alessandra Iannamorelli & Aviram Levy & Marco Orlandi, 2020. "The In-house credit assessment system of Banca d'Italia," Questioni di Economia e Finanza (Occasional Papers) 586, Bank of Italy, Economic Research and International Relations Area.
    5. Angelico, Cristina & Marcucci, Juri & Miccoli, Marcello & Quarta, Filippo, 2022. "Can we measure inflation expectations using Twitter?," Journal of Econometrics, Elsevier, vol. 228(2), pages 259-277.
    6. González-Fernández, Marcos & González-Velasco, Carmen, 2020. "An alternative approach to predicting bank credit risk in Europe with Google data," Finance Research Letters, Elsevier, vol. 35(C).
    Full references (including those not matched with items on IDEAS)

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    Keywords

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    JEL classification:

    • G30 - Financial Economics - - Corporate Finance and Governance - - - General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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