17. April 2020

Brown Bag Seminar Cluster Industrial Economics

The CoRisk-Index: A data-mining approach to identify industry-specific risk assessments related to COVID-19 in real-time

Termin

17. April 2020
14:30 - 15:30

Ort

Online seminar via Webex

SprecherInnen

Fabian Braesemann (Saïd Business School, University of Oxford)

This event takes place virtually as webinar via Zoom.

Abstract:  While the coronavirus spreads around the world, governments are attempting to reduce contagion rates at the expense of negative economic effects. Market expectations have plummeted, foreshadowing the risk of a global economic crisis and mass unemployment. Governments provide huge financial aid programmes to mitigate the expected economic shocks. To achieve higher effectiveness with cyclical and fiscal policy measures, it is key to identify the industries that are most in need of support. In this study, we introduce a data-mining approach to measure the industry-specific risks related to COVID-19. We examine company risk reports filed to the U.S. Securities and Exchange Commission (SEC). This data set allows for a real-time analysis of risk assessments. Preliminary findings suggest that the companies' awareness towards corona-related business risks is ahead of the overall stock market developments by weeks. The risk reports differ substantially between industries, both in magnitude and in nature. Based on natural language processing techniques, we can identify corona-related risk topics and their perceived relevance for different industries. Our approach allows to distinguish the industries by their reported risk awareness towards COVID-19. The preliminary findings are summarised in an online index. The CoRisk-Index tracks the industry-specific risk assessments related to the crisis, as it spreads through the economy. The tracking tool could provide relevant empirical data to inform models on the immediate economic effects of the crisis. Such complementary empirical information could help policy-makers to effectively target financial support and to mitigate the economic shocks of the current crisis.

Joint with Fabian Stephany, Niklas Stoehr, Philipp Darius, Leonie Neuhäuser, Ole Teutloff

Speaker

Fabian Braesemann, Saïd Business School, University of Oxford