  The standard theory of coherent risk measures fails to consider individual
institutions as part of a system which might itself experience instability and
spread new sources of risk to the market participants. In compliance with an
approach adopted by Shapley and Shubik (1969), this paper proposes a
cooperative market game where agents and institutions play the same role can be
developed. We take into account a multiple institutions framework where some of
them jointly experience distress events in order to evaluate their individual
and collective impact on the remaining institutions in the market. To carry out
this analysis, we define a new risk measure (SCoES), generalising the Expected
Shortfall of Acerbi (2002) and we characterise the riskiness profile as the
outcome of a cost cooperative game played by institutions in distress (a
similar approach was adopted by Denault 2001). Each institution's marginal
contribution to the spread of riskiness towards the safe institutions in then
evaluated by calculating suitable solution concepts of the game such as the
Banzhaf--Coleman and the Shapley--Shubik values.
