Risk averse banks and uncertain correlation values: a theory of rational bank panics

We present a model for Financial fragility in which banks are risk-averse portfolio managers and there is uncertainty over risk management parameters. There is a danger of heightened risk aversion and projects in small economies are assumed to be riskier than those in large economies. In this situat...

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Bibliographic Details
Main Author: Morrison, A
Format: Working paper
Published: University of Oxford 2000