News-Enhanced Market Risk Management
16 Pages Posted: 24 Nov 2013
Date Written: September 9, 2013
We develop a news-enhanced risk model, which utilizes news sentiments to optimize the valuation of market risk. In particular, our model takes into account news sentiment scores, which value news of various sources according to their relevance for particular companies. A GJR-GARCHX model is built for the calculation of the Value at Risk for different assets. We further develop an interactive GUI, where the results are demonstrated.
Keywords: News analytics, Risk Management, Value at Risk
JEL Classification: C580, G170
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