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 three active heterogeneous banks, incomplete markets, and …