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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
liabilities, taken as given the valuation of liabilities. We introduce a model that allows for the joint valuation of liabilities …
Persistent link: https://www.econbiz.de/10010745722