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A time series analysis of financial fragility in the UK banking system
Goodhart, Charles; Sunirand, Pojanart; Tsomocos, … - London School of Economics (LSE) - 2004
This paper extends the model proposed by Goodhart, Sunirand, and Tsomocos (2003, 2004a, b) to an infinite horizon setting. Thus, we are able to assess how the model conforms with the time series data of the U.K. banking system. We conclude that, since the model performs satisfactorily, it can be...
Persistent link: https://www.econbiz.de/10010744867
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A risk assessment model for banks
Goodhart, Charles; Sunirand, Pojanart; Tsomocos, … - London School of Economics (LSE) - 2004
The objective of this paper is to propose a model to assess risk for banks. Its main innovation is to incorporate … endogenous interaction between banks, recognising that the actual risk to which an individual bank is exposed also depends on its … data and therefore can be implemented as a risk assessment tool for financial regulators and central banks. We address the …
Persistent link: https://www.econbiz.de/10010745460
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Towards a measure of financial fragility
Aspachs, Oriol; Goodhart, Charles; Tsomocos, Dimitrios P.; … - London School of Economics (LSE) - 2006
This paper proposes a measure of financial fragility that is based on economic welfare in a general equilbrium model calibrated against UK data. The model comprises a household sector, three active heterogeneous banks, a central bank/regulator, incomplete markets, and endogenous default. We...
Persistent link: https://www.econbiz.de/10010745512
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Liability valuation and optimal asset allocation
Inkmann, Joachim; Blake, David - London School of Economics (LSE) - 2004
and the determination of the optimal asset allocation using discount rates that ap-propriately reflect default risk. We …
Persistent link: https://www.econbiz.de/10010745722