May 2011
Beginner to intermediate
384 pages
12h 28m
English
Content preview from The Handbook of News Analytics in Finance
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17.3 REFINING VaR AND ES CALCULATION USING SEMANTIC NEWS ANALYSIS
Abnormal market conditions exert a much higher risk than normal market conditions and it is therefore vital to include them in risk management strategies. The inflexibility of market risk measures with regard to such abnormal conditions can be countered by developing a system that takes financial news messages into account. Financial news reports all events that are relevant for the value of an equity. Such events, or chains of such events, might cause unstable market conditions. Detection of these events can be used to estimate the probability of emerging abnormal market conditions. By incorporating news into the risk calculation, sudden impactful events can help to determine the kind of distribution that should be attributed to individual parameters of the calculation. In order to do so, news messages need to be given an impact value.
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