European sovereign debt crisis has become a very popular topic since late 2009. In this paper, sovereign debt crisis is investigated by calculating the probabilities of the potential future crisis of 11 countries in the European Union. We use sovereign spreads of the European countries against...

This paper investigates a model utilising the term structure of interest rates to predict output growth and recession in the UK. In contrast to previous literature, information retrieved from the whole yield curve is used rather than just the yield spread. Using di↵erent methods, our...

This paper examines the existence of time series non-linearity in the real output growth / recession-term spread relationship. Vector Autoregression (VAR), Threshold VAR (TVAR), Structural break VAR (SBVAR), Structural break threshold VAR (SBTVAR) are applied in the analysis. The in-sample...

ABSTRACT This paper uses a relatively new quantitative model for estimating UK banks' liquidity risk. The model is called the exposure‐based cash‐flow‐at‐risk (CFaR) model, which not only measures a bank's liquidity risk tolerance but also helps to improve liquidity risk management...

This paper uses a relatively new quantitative model for estimating UK banks' liquidity risk. The model is called the Exposure-Based Cash-Flow-at-Risk (CFaR) model, which not only measures a bank's liquidity risk tolerance, but also helps to improve liquidity risk management through the provision...

This paper provides a long-term cost-benefit analysis for the United Kingdom of the Basel III capital and liquidity requirements proposed by the Basel Committee on Banking Supervision (BCBS, 2010a). We provide evidence that the Basel III reforms will have a significant net positive long-term...

This paper provides a long-term cost–benefit analysis for the United Kingdom of the Basel III capital and liquidity requirements proposed by the Basel Committee on Banking Supervision (BCBS, 2010a). We provide evidence that the Basel III reforms will have a significant net positive long-term...

Planar Maximally Filtered Graphs (PMFG) are an important tool for filtering the most relevant information from correlation based networks such as stock market networks. One of the main characteristics of a PMFG is the number of its 3- and 4-cliques. Recently in a few high impact papers it was...

The premium pricing process and the reserve stability under uncertainty are very challenging issues in the insurance industry. In practice, a premium which is sufficient enough to cover the expected claims and to keep stable the derived reserves is always required. This paper proposes a premium...

Lending rate policy via an appropriate investment strategy for an interacted portfolio of loans into discrete stochastic framework is examined in this paper. A bank optimization model with several control variables, stochastic inputs and a smoothness criterion described by a quadratic functional...