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...

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...

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...

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 indicator...

Consolidation has been a fact of life in the wholesale financial services sector, resulting in fundamental change in the financial architecture and public exposure to systemic risk. The underlying drivers include advances in transactions and information technologies, regulatory changes,...

We investigate the consequences of banks' liquidity hoarding behavior for the stability of the financial system proposing a new model of banking contagion through two channels, bilateral exposures and funding shortage. Inspired by the key role of liquidity hoarding in the 2007-2009 financial...

This paper presents a methodology to examine the multivariate tail dependence of the implied volatility of equity options as an early warning indicator of systemic risk within the financial sector. Using non-parametric methods of estimating changes in the dependence structure in response to...

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...