Using Shapley’s asymmetric power index to measure banks’ contributions to systemic risk
An individual bank can put the whole banking system at risk if its losses in response to shocks push losses for the system as a whole above a critical threshold. We determine the contribution of banks to this systemic risk using a generalisation of the Shapley value; a concept originating in co-operative game theory. An important feature of this approach is that the order in which banks fail in response to a shock depends on the composition of the banks’ asset portfolios and capital buffers. We show how these factors affect banks’ contributions to systemic risk, and the extent to which these contributions depend on the level of the critical threshold.
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- Lewis Webber & Matthew Willison, 2011.
"Systemic capital requirements,"
BIS Papers chapters,in: Bank for International Settlements (ed.), Macroprudential regulation and policy, volume 60, pages 44-50
Bank for International Settlements.
- Webber, Lewis & Willison, Matthew, 2011. "Systemic capital requirements," Bank of England working papers 436, Bank of England.
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- Gauthier, Céline & Lehar, Alfred & Souissi, Moez, 2012. "Macroprudential capital requirements and systemic risk," Journal of Financial Intermediation, Elsevier, vol. 21(4), pages 594-618.
- repec:bla:joares:v:17:y:1979:i:1:p:295-303 is not listed on IDEAS
- Larry Eisenberg & Thomas H. Noe, 2001. "Systemic Risk in Financial Systems," Management Science, INFORMS, vol. 47(2), pages 236-249, February. Full references (including those not matched with items on IDEAS)
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