Risk Attribution Using the Shapley Value: Methodology and Policy Applications
Author:
Publisher
Oxford University Press (OUP)
Subject
Finance,Economics and Econometrics,Accounting
Link
http://academic.oup.com/rof/article-pdf/20/3/1189/7444649/rfv028.pdf
Reference47 articles.
1. Acharya V. V. Pedersen L. H. Philippon T. Richardson M. P. (2010) Measuring systemic risk. AFA 2011 Denver Meetings Paper. Available at SSRN: http://ssrn.com/abstract=1573171 .
2. Acharya V. V. Richardson M. , editors. (2009) Restoring Financial Stability: How to Repair a Failed System, John Wiley & Sons, Hoboken, New Jersey.
3. Adrian T. Brunnermeier M. (2011) CoVaR. Federal Reserve Bank of New York Staff Reports, Number 348.
4. Coherent Measures of Risk
5. Aumann R. Shapley L. (1974) Values of Non-Atomic Games, Princeton University Press, Princeton, New Jersey.
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