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...

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>