A Risk Assessment Model for Banks

@inproceedings{Goodhart2004ARA,
  title={A Risk Assessment Model for Banks},
  author={C. A. Goodhart},
  year={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 sector agents. To this end, we develop a two-period general equilibrium model with three active heterogeneous banks, incomplete markets, and endogenous default. The setting of three heterogeneous banks allows… CONTINUE READING

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