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Discovering bank risk factors from financial statements based on a new semi‐supervised text mining algorithm

Published on Feb 19, 2019in Accounting and Finance 1.48
· DOI :10.1111/acfi.12453
Lu Wei2
Estimated H-index: 2
(CAS: Chinese Academy of Sciences),
Guowen Li2
Estimated H-index: 2
(CAS: Chinese Academy of Sciences)
+ 1 AuthorsJianping LiXiaolei19
Estimated H-index: 19
(CAS: Chinese Academy of Sciences)
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  • References (37)
  • Citations (4)
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References37
Newest
Published on May 1, 2019in Energy Economics 4.15
Lu Wei2
Estimated H-index: 2
(CAS: Chinese Academy of Sciences),
Guowen Li2
Estimated H-index: 2
(CAS: Chinese Academy of Sciences)
+ 2 AuthorsJianping LiXiaolei19
Estimated H-index: 19
(CAS: Chinese Academy of Sciences)
Abstract Selecting risk factors is essential for measuring energy corporate risk. However, the comprehensive identification of energy corporate risk factors is still a difficult issue. This paper innovatively uses the text mining approach to comprehensively identify energy corporate risk factors from textual risk disclosures reported in financial statements. Based on 131,755 risk factor headings from 3707 Form 10-K filings from 840 U.S. energy corporations over the period 2010–2016, 66 types of ...
Jianping LiXiaolei19
Estimated H-index: 19
(CAS: Chinese Academy of Sciences),
Lu Wei2
Estimated H-index: 2
(CAS: Chinese Academy of Sciences)
+ 2 AuthorsDengsheng Wu10
Estimated H-index: 10
(CAS: Chinese Academy of Sciences)
Abstract One of the major challenges involved in risk aggregation is the lack of risk data. Recently, researchers have found that mapping financial statements into risk types is a satisfactory way to resolve the problem of data shortage and inconsistency. Nevertheless, ignoring off-balance sheet (OBS) items has so far been regarded as the usual practice in risk aggregation, which may lead to deviations in conclusions. Hence, we improve the financial statements based risk aggregation framework by...
Published on Nov 1, 2017in Journal of Accounting and Economics 3.75
Gregory S. Miller18
Estimated H-index: 18
(UM: University of Michigan)
Dyer et al. (2017) examines trends in 10-K textual disclosure from 1996–2013. Using a set of variables from prior textual research, they show a decrease in characteristics generally considered desirable and an increase in attributes considered undesirable. The trend is driven by disclosures to comply with new regulatory reporting standards. The study takes a high-level approach allowing an overview perspective. However, that approach also means readers should take caution in reaching strong conc...
Published on Nov 1, 2017in Journal of Accounting and Economics 3.75
Travis Dyer2
Estimated H-index: 2
(UNC: University of North Carolina at Chapel Hill),
Mark H. Lang31
Estimated H-index: 31
(UNC: University of North Carolina at Chapel Hill),
Lorien Stice-Lawrence1
Estimated H-index: 1
(SC: University of Southern California)
We document marked trends in 10-K disclosure over the period 1996–2013, with increases in length, boilerplate, stickiness, and redundancy and decreases in specificity, readability, and the relative amount of hard information. We use Latent Dirichlet Allocation (LDA) to examine specific topics and find that new FASB and SEC requirements explain most of the increase in length and that 3 of the 150 topics—fair value, internal controls, and risk factor disclosures—account for virtually all of the in...
Published on Jul 1, 2017in Management Science 4.22
Allen N. Berger89
Estimated H-index: 89
(USC: University of South Carolina),
Sadok El Ghoul19
Estimated H-index: 19
(U of A: University of Alberta)
+ 1 AuthorsRaluca A. Roman3
Estimated H-index: 3
(Federal Reserve System)
This paper documents a positive relation between internationalization and bank risk. This is consistent with the empirical dominance of the market risk hypothesis – whereby internationalization increases banks' risk due to market-specific factors in foreign markets – over the diversification hypothesis – whereby internationalization allows banks to reduce risk through diversification of their operations. The results continue to hold following a variety of robustness tests, including endogeneity ...
Published on Jul 1, 2015in International Review of Economics & Finance 1.43
Xiaoqian Zhu7
Estimated H-index: 7
(CAS: Chinese Academy of Sciences),
Yongjia Xie4
Estimated H-index: 4
(CAS: Chinese Academy of Sciences)
+ 1 AuthorsDengsheng Wu10
Estimated H-index: 10
(CAS: Chinese Academy of Sciences)
The subprime crisis has received great attention in academic research but there is no consensus on when the crisis started and when it ended. Previous researchers have only mentioned their subjective judgments in related papers and well-accepted change point detection methods are not available. So the objective of this paper is to propose a multiple change point detection approach from the perspective of risk dependence by using copula function. Since the inter-dependence of different types of r...
Published on May 28, 2015in Nature 43.07
Yann LeCun85
Estimated H-index: 85
(NYU: New York University),
Yoshua Bengio111
Estimated H-index: 111
(UdeM: Université de Montréal),
Geoffrey E. Hinton122
Estimated H-index: 122
(U of T: University of Toronto)
Deep learning allows computational models that are composed of multiple processing layers to learn representations of data with multiple levels of abstraction. These methods have dramatically improved the state-of-the-art in speech recognition, visual object recognition, object detection and many other domains such as drug discovery and genomics. Deep learning discovers intricate structure in large data sets by using the backpropagation algorithm to indicate how a machine should change its inter...
Jianping LiXiaolei19
Estimated H-index: 19
(CAS: Chinese Academy of Sciences),
Xiaoqian Zhu7
Estimated H-index: 7
(CAS: Chinese Academy of Sciences)
+ 3 AuthorsYong Shi39
Estimated H-index: 39
(CAS: Chinese Academy of Sciences)
Risk aggregation considering inter-risk dependence has always been a challenge to both researchers and practitioners. The objective of this study is to formulate ways of aggregation of bank risks and comprehensively compare simple summation, variance–covariance and copula approach. Firstly, the three popular approaches are adopted to aggregate credit risk, market risk and operational risk of banks based on Austrian banking data. Then, two comparisons are mainly made. Total risks aggregated by di...
Published on Jun 1, 2014in Management Science 4.22
Yang Bao6
Estimated H-index: 6
(NUS: National University of Singapore),
Anindya Datta16
Estimated H-index: 16
(NUS: National University of Singapore)
Managers and researchers alike have long recognized the importance of corporate textual risk disclosures. Yet it is a nontrivial task to discover and quantify variables of interest from unstructured text. In this paper, we develop a variation of the latent Dirichlet allocation topic model and its learning algorithm for simultaneously discovering and quantifying risk types from textual risk disclosures. We conduct comprehensive evaluations in terms of both conventional statistical fit and substan...
Cited By4
Newest
Lu Wei2
Estimated H-index: 2
(CAS: Chinese Academy of Sciences),
Guowen Li2
Estimated H-index: 2
(CAS: Chinese Academy of Sciences)
+ 1 AuthorsXiaoqian Zhu7
Estimated H-index: 7
(CAS: Chinese Academy of Sciences)
Abstract Approaches based on financial statements are important to the field of bank risk aggregation. However, previous studies only used numerical data recorded in financial statements to aggregate bank risk. Time lags in numerical data can bias risk aggregation results. Thus, this paper first incorporates forward-looking textual risk disclosures reported in financial statements into bank risk aggregation. In doing so, we overcome the drawback of risk aggregation resulting from using only hist...
Published on Jul 1, 2019in Emerging Markets Review 2.11
Jingyu Li (CAS: Chinese Academy of Sciences), Yanzhen Yao2
Estimated H-index: 2
(CAS: Chinese Academy of Sciences)
+ 1 AuthorsXiaoqian Zhu7
Estimated H-index: 7
(CAS: Chinese Academy of Sciences)
Abstract To distinguish systematic and idiosyncratic contagion during financial crises has attracted increasing attention because it can shed light on the potential drivers of contagion. However, the existing methods for distinguishing the two types of contagion cannot work with a large number of institutions. Therefore, this paper innovatively proposes a network-based framework which is able to distinguish the two types of contagion among numerous institutions. By applying the framework to the ...
Published on Mar 31, 2019in Journal of Risk Research 1.70
Chunbing Bao3
Estimated H-index: 3
,
Jie Wan1
Estimated H-index: 1
+ 1 AuthorsJianping LiXiaolei19
Estimated H-index: 19
AbstractRisk matrices have been proven as useful risk management tools, especially in the cases where data are not sufficient. Current usage of risk matrices in both literature and practice is related to single risk assessment. However, sometimes the decision makers care more about the overall risk consisting of several of single risks, which is in the scope of the aggregation of single risks measured by risk matrices. Unfortunately, two notions, namely, incomparability of different qualitative ...
Published on Mar 22, 2019in Electronic Commerce Research 1.94
Jianping LiXiaolei19
Estimated H-index: 19
(CAS: Chinese Academy of Sciences),
Yinhong Yao (CAS: Chinese Academy of Sciences)+ 3 AuthorsXiaoqian Zhu7
Estimated H-index: 7
(CAS: Chinese Academy of Sciences)
Understanding consumer’s risk perception on the Belt and Road (B&R) countries is important for the development of cross-border e-commerce (CBEC) along these countries. However, most of the extant studies cannot properly analyze consumer’s risk perception due to the limited data collected by questionnaires. Therefore, this study proposes a text-mining-based framework to study consumer’s risk perception on the B&R countries based on massive textual online reviews collected from CBEC. In the propos...