EconPapers    
Economics at your fingertips  
 

Risk Attribution Using the Shapley Value: Methodology and Policy Applications

Nikola Tarashev, Kostas Tsatsaronis () and Claudio Borio ()

Review of Finance, 2016, vol. 20, issue 3, 1189-1213

Abstract: We present the Shapley Value as a methodology for risk attribution and use it to derive measures of banks’ systemic importance. The methodology possesses attractive properties, such as fairness and efficiency. It also leads naturally to a framework for the analysis of different drivers of systemic importance: bank size, bank-specific risk, and the commonality of banks’ exposures. We prove that, all else equal, an increase in bank size leads to a more than proportional increase in systemic importance. We also show how alternative applications of the Shapley Value methodology can be used in designing policy tools with system-wide objectives.

Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1093/rof/rfv028 (application/pdf)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:oup:revfin:v:20:y:2016:i:3:p:1189-1213.

Ordering information: This journal article can be ordered from
http://www.oup.co.uk/journals

Access Statistics for this article

Review of Finance is currently edited by Josef Zechner and Marco Pagano

More articles in Review of Finance from European Finance Association Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK. Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press (). This e-mail address is bad, please contact .

 
Page updated 2019-10-08
Handle: RePEc:oup:revfin:v:20:y:2016:i:3:p:1189-1213.