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 …

Cyber risk is an emerging source of systemic risk in the financial sector, and possibly a macro-critical risk too. It … approaches to assess and monitor cyber risk to the financial sector, including various approaches to stress testing. The paper …

Brunnermeier (2010) and Acharya et al. (2009) have suggested as measures of systemic risk to be attached to individual banks. The … statistics equal the product of statistic specific beta-coefficients with the mean corrected Value at Risk. It may be relatively …

become more probable too and systemic risk will actually go up after conversion. CoCo's thus lead to a direct conflict … stress. Finally the link between CoCo conversion and systemic risk highlights the tradeoffs that a regulator faces in …