Detection and explanation of anomalous payment behavior in real-time gross settlement systems

In this paper, we discuss how to apply an autoencoder to detect anomalies in payment data derived from an Real-Time Gross Settlement system. Moreover, we introduce a drill-down procedure to measure the extent to which the inflow or outflow of a particular bank explains an anomaly. Experimental results on real-world payment data show that our method can detect the liquidity problems of a bank when it was subject to a bank run with reasonable accuracy.

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