We apply text analysis to Twitter messages in Spanish to build a sentiment- based risk index for the financial sector in Mexico. We classify a sample of tweets for the period 2006-2019 to identify messages in response to positive or negative shocks to the Mexican financial sector. We use a...

We apply sentiment analysis to Twitter messages in Spanish to build a sentiment risk index for the financial sector in Mexico. We classify a sample of tweets from 2006-2019 to identify messages in response to a positive or negative shock to the Mexican financial sector, relative to merely...

This is a chapter for a forthcoming volume Oxford Handbook of Financial Regulation (Oxford University Press 2014) (eds. Eilís Ferran, Niamh Moloney, and Jennifer Payne). It provides an overview of EU financial regulation from the first banking directive up until its most recent developments in...

Interbank claims are a concern to regulators as they might facilitate the dissemination of defaults and generate spill-over effects. Building on a simple model, this paper introduces a measure of the spill-over effects that a bank generates when it defaults. The measure is based on an explicit...

We examine pitfalls in the use of return-based measures of systemic risk contributions (SRCs). For both linear and non-linear return frameworks, assuming normal and heavy-tailed distributions, we identify non-exotic cases in which a change in a bank's systematic risk, idiosyncratic risk, size or...

The avenue to find a balanced assessment of systemic financial institutions needs the integration of macro and micro granular datasets. This paper investigates how macroeconomic shocks affect systemic risk through several transmission channels. Employing Indonesia datasets over 2008–2019, we...

The value of assets in the digital ecosystem has grown rapidly amid periods of high volatility. Does the digital financial system create new potential challenges to financial stability? This paper explores this question using the Federal Reserve's framework for analyzing vulnerabilities in the...

We investigate the extent to which various structural risks exacerbate the materialization of cyclical risk. We use a large database covering all sorts of cyclical and structural features of the financial sector and the real economy for a panel of 30 countries over the period 2006Q1-2019Q4. We...

The central problem for financial regulation is reducing systemic risk. Systemic risk is the risk that the failure of one significant institution can cause or significantly contribute to the failure of other significant institutions. This paper addresses the five most important policies for...

In this paper we propose a measure of systemic risk in the financial sector, the Expected Systemic Shortfall (ESS) indicator. The ESS-indicator is the product of the probability of a systemic default event and the expected tail loss in case this systemic event occurs. We compute the...