Measuring the Systemic Importance of Interconnected Banks 1

@inproceedings{Drehmann2011MeasuringTS,
  title={Measuring the Systemic Importance of Interconnected Banks 1},
  author={Mathias Drehmann and Nikola Tarashev},
  year={2011}
}
  • Mathias Drehmann, Nikola Tarashev
  • Published 2011
We develop a measure of systemic importance that accounts for the extent to which a bank propagates shocks across the banking system and is vulnerable to propagated shocks. Based on Shapley values, this measure gauges the contribution of interconnected banks to systemic risk, in contrast to other measures proposed in the literature. An empirical… CONTINUE READING