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The ongoing concern about systemic risk since the outburst of the globalfinancial crisis has highlighted the need for risk measures at the level ofsets of interconnected financial components, such as portfolios, institutionsor members of clearing houses. The two main issues in systemic risk measurementare the computation of an overall reserve level and its allocation to thedifferent components according to their systemic relevance. We develop here apragmatic approach to systemic risk measurement and allocation based onmultivariate shortfall risk measures, where acceptable allocations are firstcomputed and then aggregated so as to minimize costs. We analyze thesensitivity of the risk allocations to various factors and highlight itsrelevance as an indicator of systemic risk. In particular, we study theinterplay between the loss function and the dependence structure of thecomponents. Moreover, we address the computational aspects of risk allocation.Finally, we apply this methodology to the allocation of the default fund of aCCP on real data.

Multivariate Shortfall Risk Allocation and Systemic Risk