Tsomocos, Dimitrios P; Goodhart, Charles A.E. - Department of Economics, Oxford University - 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 … interaction with other banks and other private sector agents. To this end, we develop a two-period general equilibrium model with …