Reliability-oriented sensitivity analysis methods have been developed for understanding the influence of model inputs relative to to events which characterize the failure of a system (e.g., a threshold exceedance of the model output). In this field, the target sensitivity analysis focuses primarily on capturing the influence of the inputs on the occurrence of such a critical event. This paper proposes new target sensitivity indices, based on the Shapley values and called ``target Shapley effects'', allowing for interpretable sensitivity measures under dependent inputs. Two algorithms (one based on Monte Carlo sampling, and a given-data algorithm based on a nearest-neighbors procedure) are proposed for the estimation of these target Shapley effects based on the $\ell^2$ norm. Additionally, the behavior of these target Shapley effects are theoretically and empirically studied through various toy-cases. Finally, the application of these new indices in two real-world use-cases (a river flood model and a COVID-19 epidemiological model) is discussed.