Risk Attribution Using the Shapley Value: Methodology and Policy Applications

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 syste...

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Veröffentlicht in:	Review of Finance 2016-05, Vol.20 (3), p.1189-1213
Hauptverfasser:	Tarashev, Nikola, Tsatsaronis, Kostas, Borio, Claudio
Format:	Artikel
Sprache:	eng
Schlagworte:	Banks Research methodology Risk assessment Risk exposure Size of enterprise Studies
Online-Zugang:	Volltext
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