Home  Journals  Finance and Credit  12(864) - 2025 December

Financial stress index: Calculation methodology and dynamics

Received: 27 August 2025

Accepted: 5 September 2025

Available online: 25 December 2025

Subject Heading: Financial system

JEL Classification: G14, G17

Pages: 33-52

https://doi.org/10.24891/lukrgo

Subject. The article deals with the development and empirical validation of a thematic Financial Stress Index.
Objectives. The study aims to develop a methodology for constructing an aggregated thematic Financial Stress Index (FSI) based on lexico-semantic analysis of RBC publications for 2014–2024.
Methods. We compiled a corpus of RBC publications (01.01.2014–01.01.2025), cleaned, lemmatized, and semantically filtered them to a thematic sub-corpus (?1,300 articles). We created five sectoral dictionaries and applied topic modeling (LDA), conducted a sentiment analysis and calculated normalized sectoral sub-indices. We also performed robustness checks and descriptive validation of index dynamics. Normalization was done using z-scores or rank normalization; monthly series were visualized and compared with the chronology of sanction packages for validation.
Results. Thematic sub-indices and aggregated index were constructed; peaks were recorded in 2014 and early 2022, with moderate rises in 2018–2019 and early 2023. Financial and corporate sectors proved most sensitive, while real estate contributed minimally. Spikes are short-lived, the baseline level is elevated, and further validation is required. The index can be used for operational monitoring of informational pressure, early warning of financial risks, scenario analysis, stress testing and support of corporate risk management, rapid assessment of sectoral vulnerability, and effectiveness of public communications.
Conclusions. The thematic Financial Stress Index confirms the sensitivity of media discourse to sanction-related shocks, enables rapid detection of informational spikes and complements market indicators. Further econometric validation and robustness testing are necessary before practical deployment.

Keywords: financial stress index, FSI, thematic indexing, sentiment analysis, sanction discourse

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