Dynamic Interpretation of Emerging Risks in the Financial Sector
用计算语言学方法开发了一个动态可解释模型，能提前预测金融部门的新兴风险，如2005年中就预警了2008年金融危机，并发现房地产、提前还款等风险因素。
Abstract We use computational linguistics to develop a dynamic, interpretable methodology that can detect emerging risks in the financial sector. Our model can predict heightened risk exposures as early as mid-2005, well in advance of the 2008 financial crisis. Risks related to real estate, prepayment, and commercial paper are elevated. Individual bank exposure strongly predicts returns, bank failures, and return volatility. We also document a rise in market instability since 2014 related to sources of funding and mergers and acquisitions. Overall, our model predicts the buildup of emerging risk in the financial system and bank-specific exposures in a timely fashion. Received March 1, 2018; editorial decision November 18, 2018 by Editor Itay Goldstein.