The Chinese stock market crash in June 2015 has demonstrated necessary to improve understanding of systemic risk from … the perspective of financial network. This study constructs a tail risk network to present overall systemic risk of … Selection Operator (LASSO) method of high-dimensional models, our results show that firm's idiosyncratic risk can be affected by …

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 …