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...

This paper examines the evolution of credit risk arising from monetary policy operations and ELA on the Eurosystem balance sheet over the last decade. We employ a dynamic, market-driven risk model relying on the expected default frequencies for sovereigns, banks and corporates provided by...