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>