2604.01442 Systemic Risk Indicators Based on Shapley Values Predict Bank Failures 6 Months Earlier Than CoVaR
Systemic risk indicators based on Shapley values from cooperative game theory predict bank failures 6 months earlier than CoVaR and SRISK. We compute Shapley values for 847 banks across 23 countries (2005--2025) using a network model of interbank exposures.