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Equilibrium analysis, banking, contagion and financial fragility

Tsomocos, Dimitrios P. - London School of Economics (LSE) - 2003

for positive default levels in equilibrium. It also characterises contagion and financial fragility as an equilibrium …

Persistent link: https://www.econbiz.de/10010884714

A time series analysis of financial fragility in the UK banking system

Goodhart, Charles; Sunirand, Pojanart; Tsomocos, … - London School of Economics (LSE) - 2004

, computability, and the presence of multiple contagion channels and heterogeneous banks and investors. …

Persistent link: https://www.econbiz.de/10010744867

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 interaction with other banks and other private...

Persistent link: https://www.econbiz.de/10010745460

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

A model to analyse financial fragility: applications

Goodhart, Charles; Sunirand, Pojanart; Tsomocos, … - London School of Economics (LSE) - 2004

, banks and endogenous default, thus allowing various feedback and contagion channels to operate in equilibrium. Such a model …

Persistent link: https://www.econbiz.de/10010745587

Endogenous liquidity and contagion

Rahi, Rohit; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2009

. Our model is well-suited to study the contagion-like eects of liquidity shocks. …

Persistent link: https://www.econbiz.de/10010884503

Financial contagion through capital connections: a model of the origin and spread of bank panics

Dasgupta, Amil - London School of Economics (LSE) - 2002

Financial contagion is modeled as an equilibrium phenomenon in a dynamic setting with incomplete information and … failure of a financial institution. We show that contagion is possible in the unique equilibrium of the economy and … of contagion risk. Our results suggest that when the probability of bank failure is low, maximal levels of interbank …

Persistent link: https://www.econbiz.de/10010884582

Market quality and contagion in fragmented markets

Rahi, Rohit; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2013

proxies. The model is especially well-suited to study the contagion-like effects of liquidity shocks. …

Persistent link: https://www.econbiz.de/10011171758

Systemic sovereign risk: macroeconomic implications in the euro area

Bahaj, Saleem A. - London School of Economics (LSE) - 2014

What are the macroeconomic implications of changes in sovereign risk premia? In this paper, I use a novel identification strategy coupled with a new dataset for the Euro Area to answer this question. I show that exogenous innovations in sovereign risk premia were an important driver of the...

Persistent link: https://www.econbiz.de/10011126365

The place of contract in organizational awareness: deconstructing process, market and connectedness

Scott, Susan V.; Paris, Carolyn - London School of Economics (LSE) - 2010

Throughout modern business history, contract has been used as an organizational technology that holds counterparties in formal or legally binding agreements. The proliferation of contract prompted the emergence of professional contract managers who played an important but relatively peripheral...

Persistent link: https://www.econbiz.de/10010744884