회사채 신용등급 예측에 뉴스 텍스트정보의 유용성
The Usefulness of News Text Information for Forecasting Corporate Bond Credit Rating
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초록
본 연구는 국내 회사채 신용등급 예측에서 기존 재무변수에 추가하여 기업 뉴스와 같은 텍스트 정보를 고려하는 것의 유용성에 대해 검토하였다. 기업의 회계 결산 시점 6개월 후의 신용등급 변경을 예측하는 모형을 설정하여, 60개의 재무변수에 더하여 뉴스 텍스트 기반 변수인 뉴스지수(news index)를 추가하였다. 뉴스지수는 구글(Google)을 통해 검색한 뉴스를 한국어 버트(BERT; Bidirectional Encoder Representations from Transformers) 모형을 사용하여 긍정 및 부정 감성을 계산하였다. 뉴스지수를 추가한 모형이 기존 재무변수만을 사용한 것보다 성과를 향상시켰지만, 표본 수의 부족 등으로 인해 획기적인 성과 향상은 경험하지 못하였다. 이를 보충하기 위한 정성적 분석으로 뉴스지수를 만드는 과정에서 발견한 한계점을 6개 범주로 분류하여 자세히 기술하였다. 추가적인 연구를 통해 해당 한계점을 해결한다면 더욱 의미 있는 뉴스지수를 만들 수 있을 것으로 기대된다.
Abstract
This research investigates the efficacy of incorporating textual data, specifically company-related news, alongside established financial and accounting factors in forecasting Korean corporate bond ratings. We introduce a novel variable, news index, based on news text, aiming to enhance the accuracy of a credit rating prediction model within six months following a firm’s fiscal year-end. During the news index development, we observe the value of news in credit rating prediction, yet identify certain limitations. Addressing these limitations through additional research is anticipated to yield a more meaningful news index.
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