An individual bank can put the whole banking system at risk if its losses in response to shocks push losses for the system as a whole above a critical threshold. We determine the contribution of banks to this systemic risk using a generalisation of the Shapley value; a concept originating in...

The aim of the paper is carrying out of survey for cooperation among banking supervisors based on the model of cooperative games. The initial measures of supervisors are aimed at rescuing the banking assets in their territory and to reduce losses to local taxpayers. The new reality demands these...

Prudential tools that target financial stability need to be calibrated at the level of the financial system but implemented at the level of each regulated institution. They require a methodology for the allocation of system-wide risk to the individual institution in line with its systemic...