Puzanova, Natalia; Düllmann, Klaus - In: Journal of Banking & Finance 37 (2013) 4, pp. 1243-1257
We put forward a framework for measuring systemic risk and attributing it to individual banks. Systemic risk is coherently measured as the expected loss to depositors and investors when a systemic event occurs. The risk contributions are calculated so as to ensure a full risk allocation among...