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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...
Persistent link: https://www.econbiz.de/10012659015
We estimate the contribution of large U.S, banks to the financial sector systemic risk by using value-at-risk (VaR ), conditional value-at-risk (CoV aR ), and two-stage least square (2SLS) methodology, Our sample is the monthly stock returns of 25 large U.S, banks from 1997 to 2021, We find that...
Persistent link: https://www.econbiz.de/10014307497
Since the Global Financial Crisis of 2008-2009, the importance of non-bank financial institutions in macroprudential … discussing and implementing macroprudential supervision and regulation for non-bank financial institutions (NBFI). In this … context, this paper analyzes the systemic risk of both banks and non-bank sectors (securities firms and insurance companies …
Persistent link: https://www.econbiz.de/10014496710
competition exerts competitive pressure on the banking system, and hence it negatively contributes to the bank's stability. It has …
Persistent link: https://www.econbiz.de/10014500859
The recent financial crisis proved that financial contagion could spread among countries resulting in disruptive effects. In this paper, by modeling and simulating banking system behavior and linkages across countries, we assess, based on data from the BIS and IMF, the possible outcome of...
Persistent link: https://www.econbiz.de/10012626421
network are analyzed with Machine Learning, obtaining as push and pull bank variables solvency and bank income structure …
Persistent link: https://www.econbiz.de/10014502810
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