Measuring the systemic importance of interconnected banks, March 2011

  • Nikola Tarashev, Kostas Tsatsaronis
  • Published 2011

Abstract

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… (More)

Topics

6 Figures and Tables