Attributing Systemic Risk To Individual Institutions

An operational macroprudential approach to financial stability requires tools that attribute system-wide risk to individual institutions. Making use of constructs from game theory, the authors 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.