News-Enhanced Market Risk Management

16 Pages Posted: 24 Nov 2013

See all articles by Cristiano Arbex-Valle

Cristiano Arbex-Valle

OptiRisk Systems

Christina Erlwein-Sayer

Fraunhofer Gesellschaft - Institute of Industrial Mathematics (ITWM)

Alexandra Kochendoerfer

Fraunhofer Gesellschaft - Institute of Industrial Mathematics (ITWM)

Bernhard Kuebler

Fraunhofer Gesellschaft - Institute of Industrial Mathematics (ITWM)

Gautam Mitra

OptiRisk Systems

Giles-Arnaud Nzouankeu-Nana

Fraunhofer Gesellschaft - Institute of Industrial Mathematics (ITWM)

Barry Nouwt

SemLab

Bram Stalknecht

SemLab

Date Written: September 9, 2013

Abstract

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

Suggested Citation

Arbex-Valle, Cristiano and Erlwein-Sayer, Christina and Kochendoerfer, Alexandra and Kuebler, Bernhard and Mitra, Gautam and Nzouankeu-Nana, Giles-Arnaud and Nouwt, Barry and Stalknecht, Bram, News-Enhanced Market Risk Management (September 9, 2013). Available at SSRN: https://ssrn.com/abstract=2322668 or http://dx.doi.org/10.2139/ssrn.2322668

Cristiano Arbex-Valle

OptiRisk Systems ( email )

UNICOM R&D House
One Oxford Road
Uxbridge, UB9 4DA
United Kingdom

Christina Erlwein-Sayer

Fraunhofer Gesellschaft - Institute of Industrial Mathematics (ITWM) ( email )

Gottlieb-Daimler-Str., Geb. 49
67663 Kaiserslautern, 67663
Germany

Alexandra Kochendoerfer

Fraunhofer Gesellschaft - Institute of Industrial Mathematics (ITWM) ( email )

Gottlieb-Daimler-Str., Geb. 49
67663 Kaiserslautern, 67663
Germany

Bernhard Kuebler (Contact Author)

Fraunhofer Gesellschaft - Institute of Industrial Mathematics (ITWM) ( email )

Fraunhofer-Platz 1
67663 Kaiserslautern, 67663
Germany

Gautam Mitra

OptiRisk Systems ( email )

UNICOM R&D House
One Oxford Road
Uxbridge, UB9 4DA
United Kingdom

Giles-Arnaud Nzouankeu-Nana

Fraunhofer Gesellschaft - Institute of Industrial Mathematics (ITWM) ( email )

Gottlieb-Daimler-Str., Geb. 49
67663 Kaiserslautern, 67663
Germany

Barry Nouwt

SemLab ( email )

Zuidpoolsingel 14 2408 ZE
Alphen aan den Rijn
Netherlands

Bram Stalknecht

SemLab ( email )

Zuidpoolsingel 14 2408 ZE
Alphen aan den Rijn
Netherlands

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