Using Shapley’s asymmetric power index to measure banks’ contributions to systemic risk

Rodney Garratt, Lewis Webber and Matthew Willison

Journal of Network Theory in Finance

Abstract: ABSTRACT 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. This paper outlines a methodology for determining the contribution of banks to this form of systemic risk. Our approach utilizes a generalization of the Shapley value in which the order of bank failures in response to a shock depends on the composition of the banks' asset portfolios and capital buffers. We show how changes in these factors affect banks' contributions to systemic risk taking into account interbank contagion. Finally, we examine the extent to which banks' contributions depend on the level of the critical threshold for a systemic event.

References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.risk.net/journal-of-network-theory-in- ... ons-to-systemic-risk (text/html)

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:rsk:journ8:2462076

Access Statistics for this article

More articles in Journal of Network Theory in Finance from Journal of Network Theory in Finance
Bibliographic data for series maintained by Thomas Paine ().