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The CoRisk-Index: a data-mining approach to identify industry-specific risk perceptions related to Covid-19

Economics

The CoRisk-Index: a data-mining approach to identify industry-specific risk perceptions related to Covid-19

F. Stephany, L. Neuhäuser, et al.

Discover how the CoRisk-Index, developed by authors Fabian Stephany, Leonie Neuhäuser, Niklas Stoehr, Philipp Darius, Ole Teutloff, and Fabian Braesemann, offers a real-time view of corporate risk perceptions during the Covid-19 pandemic, highlighting its correlation with unemployment and market volatility. This groundbreaking research utilizes data mining and natural language processing to provide insights that bridge stock market data and macroeconomic trends.

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Playback language: English
Abstract
The Covid-19 pandemic severely disrupted the global economy. This paper introduces the CoRisk-Index, a real-time economic indicator measuring corporate risk perceptions related to Covid-19. Using data mining techniques on US company reports (10-K filings), the index combines the frequency of 'corona' words and the average text negativity of corona-related sentences. The CoRisk-Index correlates with US unemployment rates across industries and market volatility, even preempting stock market losses. Topic modeling and natural language processing provide granular insights into industry-specific concerns. The index bridges the gap between volatile stock market data and longer-term macroeconomic figures, aiding researchers and policymakers in assessing and responding to economic risks.
Publisher
Humanities and Social Sciences Communications
Published On
Feb 02, 2022
Authors
Fabian Stephany, Leonie Neuhäuser, Niklas Stoehr, Philipp Darius, Ole Teutloff, Fabian Braesemann
Tags
Covid-19
CoRisk-Index
corporate risk
economic indicator
data mining
unemployment rates
market volatility

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