As part of the completion of the European Banking Union, the decision on the organization of institutional and deposit protection is still pending. The mere linking of these two objectives, which are by no means necessarily identical in terms of content, has recently led to heated controversy....

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...

This paper adopts the tail-event driven network (TENET) framework to explore the connectedness and systemic risk of the banking industry along the Belt and Road (B&R) based on weekly returns of 377 publicly-listed banks from 2014 to 2019. We conduct the connectedness analysis from four levels...

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...

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...

The aim of this study is to assess the potential to introduce a positive neutral rate for the countercyclical capital buffer (nCCyB) at 0.5%, 1%, 1.5% and 2% in 20 EU countries over the period 2014Q4 up to 2023Q3. Prudential data at country-level was used to estimate the level of banks'...