Systemic risk components in a network model of contagion

We show how to perform a systemic risk attribution in a network model of contagion with interlocking balance sheets, using the Shapley and Aumann-Shapley values. Along the way, we establish new results on the sensitivity analysis of the Eisenberg-Noe network model of contagion, featuring a Markov chain interpretation. We illustrate the design process for systemic risk attribution methods by developing several examples.