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Measures of systemic risk and financial fragility in Korea

Lee, Jong; Ryu, Jaemin; Tsomocos, Dimitrios - In: Annals of Finance 9 (2013) 4, pp. 757-786

This paper provides a quantitative metric for financial stability of Korean commercial banking system based on the Tsomocos (J Math Econ 39(5–6):619–655, <CitationRef CitationID="CR32">2003</CitationRef>) model, for which we use market data as proxies for probabilities of default and equity valuation of the banking sector. We estimate...</citationref>

Persistent link: https://www.econbiz.de/10010989127

Rating systems, procyclicality and Basel II: an evaluation in a general equilibrium framework

Pederzoli, Chiara; Torricelli, Costanza; Tsomocos, Dimitrios - In: Annals of Finance 6 (2010) 1, pp. 33-49

Persistent link: https://www.econbiz.de/10008577983

Towards a measure of financial fragility

Aspachs, Oriol; Goodhart, Charles; Tsomocos, Dimitrios; … - In: Annals of Finance 3 (2007) 1, pp. 37-74

Persistent link: https://www.econbiz.de/10005673949

Financial stability: theory and applications

Goodhart, Charles; Tsomocos, Dimitrios - In: Annals of Finance 3 (2007) 1, pp. 1-4

Persistent link: https://www.econbiz.de/10005673951

A Time Series Analysis of Financial Fragility in the UK Banking System

Goodhart, Charles; Sunirand, Pojanart; Tsomocos, Dimitrios - In: Annals of Finance 2 (2006) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10005542201