臺灣經濟計量學會

Corporate defaults are often affected by many factors that are roughly divided into the two types: internal factors and external factors. Internal factors can be measured precisely with firm-specific financial statistics while external factors contain qualitative data, like related news. There are considerable number of timely information from news which affects the default probability of corporates. Efficiently extracting the information contained in the news is the main focus of this study.

We proposes to use Empirical Bayes and Bayesian network to extract the information contained within news and then to estimate its impact on the default probability of corporates. Empirical analysis finds that the news information has a significant impact on the corporate default rate prediction. Adding the news variable does improve the forecast precision and prove its usefulness.

講者介紹：
彭俊能博士為國立東華大學企業管理學系財金組博士，目前任職於商業發展研究院商業發展與政策研究所。研究專長為計量經濟與財務數學，詳細資訊請見附件檔案。 

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