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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