, and near-frictionless refinancing opportunities - led to vastly increased systemic risk in the financial system …

This paper describes a set of indicators of systemic risk computed from current market prices of equity and equity … indicators represent a systemic risk event as the realization of an extreme loss on a portfolio of large-intermediary equities …. The technique for computing them combines risk-neutral return distributions with implied return correlations drawn from …

This paper describes a set of indicators of systemic risk computed from current market prices of equity and equity … indicators represent a systemic risk event as the realization of an extreme loss on a portfolio of large-intermediary equities …. The technique for computing them combines risk-neutral return distributions with implied return correlations drawn from …

non-financial private sector had been originated by shadow banks. Consequently, dampening credit creation by the …The US credit boom has been identified as one of the causes of the global financial crisis and the resulting debt … overhang is seen as the primary reason for the weak economic recovery. Most of the existing literature links the credit boom to …

(measured as a bank's liabilities divided by national GDP) are linked to banks displaying higher tail risk. This effect is not … entirely due to risk channels that disproportionately expose relatively large banks to systematic tail risks, sovereign risks …, or banking crises. Instead, we detect a persistent component in the tail risk of relatively large banks that is bank …

We apply text analysis to Twitter messages in Spanish to build a sentiment- based risk index for the financial sector … captures the impact of sources of financial stress not explicitly encompassed in quantitative risk measures. Finally, we show … that a shock in our Twitter sentiment index correlates positively with an increase in financial market risk, stock market …

We apply sentiment analysis to Twitter messages in Spanish to build a sentiment risk index for the financial sector in … that this novel index captures the impact of sources of financial stress not explicitly encompassed in quantitative risk … Twitter sentiment index correlates positively with an increase in financial market risk, stock market volatility, sovereign …

terms of the program. We also find that the net value varies widely across banks. We compare our estimates with abnormal … stock price returns for the stress test banks at the time the terms of the CAP announced; we find correlations between 0 ….78 and 0.85, depending on the precise choice of period and set of banks included. These results suggest that our valuation …

been purchased by non-financial agents, rather than held by banks. This is because banks are subject to capital … requirements and if MBS remain within the banking system, the fall in their value puts a strain on banks' balance sheets. The …