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

Giulio Gariano () and Gianluca Viggiano ()
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Giulio Gariano: Bank of Italy
Gianluca Viggiano: Bank of Italy

No 24, Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems) from Bank of Italy, Directorate General for Markets and Payment System

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.

Keywords: credit sentiment; corporate default; social networks; natural language processing (search for similar items in EconPapers)
JEL-codes: C58 G30 (search for similar items in EconPapers)
Date: 2022-07
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:wpmisp:mip_024_22

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