Narrow search
Showing 1 - 5 of 5
Cover Image
Rational trader risk
Kondor, Peter - London School of Economics (LSE) - 2004
i.e. there is no noise trader risk. Instead, traders expect that new rational entrants with different information in the …
Persistent link: https://www.econbiz.de/10010884635
Cover Image
A time series analysis of financial fragility in the UK banking system
Goodhart, Charles; Sunirand, Pojanart; Tsomocos, … - London School of Economics (LSE) - 2004
This paper extends the model proposed by Goodhart, Sunirand, and Tsomocos (2003, 2004a, b) to an infinite horizon setting. Thus, we are able to assess how the model conforms with the time series data of the U.K. banking system. We conclude that, since the model performs satisfactorily, it can be...
Persistent link: https://www.econbiz.de/10010744867
Cover Image
A risk assessment model for banks
Goodhart, Charles; Sunirand, Pojanart; Tsomocos, … - London School of Economics (LSE) - 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 … data and therefore can be implemented as a risk assessment tool for financial regulators and central banks. We address the …
Persistent link: https://www.econbiz.de/10010745460
Cover Image
Towards a measure of financial fragility
Aspachs, Oriol; Goodhart, Charles; Tsomocos, Dimitrios P.; … - London School of Economics (LSE) - 2006
This paper proposes a measure of financial fragility that is based on economic welfare in a general equilbrium model calibrated against UK data. The model comprises a household sector, three active heterogeneous banks, a central bank/regulator, incomplete markets, and endogenous default. We...
Persistent link: https://www.econbiz.de/10010745512
Cover Image
Can rare events explain the equity premium puzzle?
Julliard, Christian; Ghosh, Anisha - London School of Economics (LSE) - 2008
frequencies, the Consumption-CAPM is still rejected by the data and requires a very high level of Relative Risk Aversion(RRA) in … order to rationalize the stock market risk premium. This result holds for a variety of data sources and samples –including …-sectional dis-persion of consumption risk relative to the cross-sectional variation of average returns …
Persistent link: https://www.econbiz.de/10011071098