Work

An alternative approach to predicting bank credit risk in Europe with Google data

Year: 2019

Type: article

Abstract: The aim of this paper is to construct an alternative approach based on a sentiment index to measure bank credit risk in European countries using an alternative approach instead of traditional measures. Specifically, we use Google data for a set of keywords related to bank credit risk to capture investor sentiment. The resulting index shows a great similarity to traditional indexes based on bank CDS. The out-of-sample analysis demonstrates that our sentiment index is helpful for predicting bank credit risk during periods of financial distress, since it enhances the accuracy of the estimations.

Source: Finance research letters

DOI: 10.1016/j.frl.2019.08.029

Authors: Marcos González-Fernández, Carmen González-Velasco

Institution: Universidad de León

Language: English

Topic: Credit Risk and Financial Regulations

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $1,250

Funder: Ministerio de Asuntos Económicos y Transformación Digital, Gobierno de España