Abstract

http://ssrn.com/abstract=1631761
 
 

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Attributing Systemic Risk to Individual Institutions


Nikola A. Tarashev


Bank for International Settlements (BIS) - Monetary and Economic Department

Claudio E. V. Borio


Bank for International Settlements (BIS) - Research and Policy Analysis

Kostas Tsatsaronis


Bank for International Settlements (BIS) - Monetary and Economic Department

May 2010

BIS Working Paper No. 308

Abstract:     
An operational macroprudential approach to financial stability requires tools that attribute system-wide risk to individual institutions. Making use of constructs from game theory, we propose an attribution methodology that has a number of appealing features: it can be used in conjunction with popular risk measures, it provides measures of institutions’ systemic importance that add up exactly to the measure of system-wide risk and it easily accommodates uncertainty about the validity of the risk model. We apply this methodology to a number of constructed examples and illustrate the interactions between drivers of systemic importance: size, the institution’s risk profile and strength of exposures to common risk factors. We also demonstrate how the methodology can be used for the calibration of macroprudential capital rules.

Number of Pages in PDF File: 29

Keywords: Systemic Importance, Macroprudential Approach, Shapley Value

JEL Classification: C15, C71, G20, G28

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Date posted: June 28, 2010 ; Last revised: November 3, 2013

Suggested Citation

Tarashev, Nikola A. and Borio, Claudio E. V. and Tsatsaronis, Kostas, Attributing Systemic Risk to Individual Institutions (May 2010). BIS Working Paper No. 308. Available at SSRN: http://ssrn.com/abstract=1631761 or http://dx.doi.org/10.2139/ssrn.1631761

Contact Information

Nikola A. Tarashev
Bank for International Settlements (BIS) - Monetary and Economic Department ( email )
Centralbahnplatz 2
CH-4002 Basel
Switzerland
Claudio E.V. Borio (Contact Author)
Bank for International Settlements (BIS) - Research and Policy Analysis ( email )
CH-4002 Basel, Basel-Stadt
Switzerland
Konstantinos Tsatsaronis
Bank for International Settlements (BIS) - Monetary and Economic Department ( email )
Centralbahnplatz 2
CH-4002 Basel
Switzerland
(41 61) 280 8082 (Phone)
(41 61) 280 9100 (Fax)
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