These Matlab codes reproduce Figures 2, 8, and 10 reported in the paper. Users can run this code on 4 different years 2014, 2015, 2016, and 2017 (main analysis of the paper) with the 12 systemic-risk indicators, or the 5 systemic-risk categories. The equally weighted risk contribution (ERC) method is used to compute Smart scores for all sample banks. Thus, weights are endogenously determined, rather than set exogenously via supervisory judgement, and take into account the volatility of each systemic-risk component but also their correlation.
Working Paper (2019)
Müller Gernot, Kriwoluzky Alexander, and Wolf Martin