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- Title
Using Shapley's asymmetric power index to measure banks' contributions to systemic risk.
- Authors
Garratt, Rodney J.; Webber, Lewis; Willison, Matthew
- Abstract
The article discusses on the calculation of marginal contributions of banks failures regarding systematic risk. It informs that to understand the basic behind the failure of banks, a measure introduced by mathematician Lloyd Shapely is used. According to Shapely measure, the framework requires inputs including the value of banks and capital available in banks to absorb losses. Information on the use of bank data to asses risk is also presented.
- Subjects
BANKING industry; SHAPELY, Lloyd; MATHEMATICIANS; WORKING capital; BUSINESS losses; RISK assessment; PREVENTION
- Publication
Bank of England Quarterly Bulletin, 2012, Vol 52, Issue 4, p369
- ISSN
0005-5166
- Publication type
Article