We show that the shortfall risk of binomial approximations of game (Israeli) options converges to the shortfall risk in the corresponding Black.Scholes market considering Lipschitz continuous path-dependent payoffs for both discrete- and continuous-time cases. These results are new also for usual American style options. The paper continues and extends the study of Kifer [Ann. Appl. Probab. 16 (2006) 984.1033] where estimates for binomial approximations of prices of game options were obtained. Our arguments rely, in particular, on strong invariance principle type approximations via the Skorokhod embedding, estimates from Kifer [Ann. Appl. Probab. 16 (2006) 984.1033] and the existence of optimal shortfall hedging in the discrete time established by Dolinsky and Kifer [Stochastics 79 (2007) 169.195].