Goodhart, Charles A.E.; Sunirand, Pojanart; Tsomocos, … - In: Annals of Finance 1 (2005) 2, pp. 197-224
This paper proposes a model to assess risk for banks. Its main innovation is to incorporate endogenous interaction among banks, where the actual risk an individual bank bears also depends on its interaction with other banks and investors. We develop a two-period general equilibrium model with...