This paper presents a novel approach to prognosing European economic crises through the development of an economic-financial risk sensitivity model. The model integrates key macroeconomic indicators such as government deficit (NETGDP), GINI coefficient, social protection expenditure (ExSocP),...

Conventional measures of bank solvency fail to account for the unique liquidity risks posed by deposits. Using public regulatory data, we develop a novel measure, economic capital, that jointly quantifies the impact of credit, liquidity, and market risk on bank solvency. We validate that...