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國立臺灣大學計量理論與應用研究中心 - CRETA


CRETA Seminar

2015 年 11 月份 WETA 研討會


2015 年 11 月份 WETA 研討會


國立臺灣大學計量理論與應用研究中心 (CRETA)、國立臺灣大學財務金融學系及臺灣經濟計量學會 (TES) 將共同舉辦 11 月份WETA @TES。11 月份 WETA 研討會相關資訊如下。


2015 11 月份 WETA 研討會】

日期:2015 年 11 月 27 日 (週五) 下午2:00~5:00

地點:國立台灣大學管理學院二號館三樓 304 教室

講者:彭俊能博士 (商業發展研究院商業發展與政策研究所)

演講主題:Using public information to predict corporate default rates in Taiwan



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.




WETA 為免費參加的研討會,不需事先報名,歡迎各位踴躍參加!!為方便台灣經濟計量學會 (TES) 會員繳納 105 年度會費,本次活動開放現場繳納會費,亦歡迎大家介紹非會員朋友加入 TES。更多研討會資訊請見 TES 網站:http://www.tesociety.org.tw/main.php