Systemic Risk Contribution of Individual Banks
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KeywordsSystemic Risk; Contingent Claims Analysis; Shapley Value;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C71 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Cooperative Games
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-04-27 (All new papers)
- NEP-ARA-2013-04-27 (MENA - Middle East & North Africa)
- NEP-BAN-2013-04-27 (Banking)
- NEP-RMG-2013-04-27 (Risk Management)
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