During the COVID-19 pandemic, house prices and mortgage credit rose at a longunseen pace. It is unclear, however, whether such increases are warranted by the underlying market and macroeconomic fundamentals. This paper offers a new structural two-market disequilibrium model that can be estimated...

We analyze the determinants of individual bank failures arising from solvency and liquidity shortages in a stylized banking system following Krause and Giansante (2012) where banks are characterized by the amount of capital, cash reserves and their exposure to the interbank loan market as...

This research contributes to bank liquidity risk management by employing supervised machine learning models to provide banks with early warnings of liquidity stress using market-based indicators. Identifying increasing levels of stress as early as possible provides management with a crucial...

The UK financial sector is a highly competitive system that has, historically, demonstrated resilience to crisis. All that changed with the banking crisis of 2007-08, affecting not just individual banks but a whole array of interconnected financial institutions, leading to a panic that spread...

Anomaly detection approaches have become critically important to enhance decision-making systems, especially regarding the process of risk reduction in the economic performance of an organisation and the consumer costs. Previous studies on anomaly detection have examined mainly abnormalities...