No. 24 - Press news and social media in credit risk assessment: the experience of Banca d'Italia's In-house Credit Assessment System

This article uses press news and Twitter messages to improve the predictive power of the ICAS rating model of Banca d'Italia. We construct two credit sentiment indicators that display a good discriminating power and marginally increase the discriminating power of the ICAS. Scores based on press news prove more effective than those based on Twitter messages.