The most common and most likely answer to this crossword clue is the 5 plus 5 plus 4 letter word GRAND THEFT AUTO
I've seen this crossword clue in Financial Times
G
R
A
N
D
T
H
E
F
T
A
U
T
O
Buddy explains!
The straight part
We know that "Game" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case game = grand theft auto.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.