Pitfalls in Systemic-Risk Scoring

By Perignon Christophe, Hurlin Christophe, and Benoit Sylvain
Working Paper SSRN (2016)

  • Christophe Perignon

    HEC Paris

    France

  • Christophe Hurlin

    University of Orléans

    France

  • Sylvain Benoit

    University of Orleans

    France

Created

September 29, 2013

Last update

July 25, 2016

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Excel

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Description

The EXCEL spreadsheet contains the value of the 12 systemic-risk indicators, 5 systemic-risk categories, and three systemic-risk scores (FSB, FSB without cap, and scores based on standardized categories) for all sample banks. The data are available for the year 2015 (main analysis of the paper) as well as for the years 2014, 2016, and 2017 (robustness section). If you use these data, please cite our paper :-) The Matlab file allows users to reproduce all the figures based on simulation (see Appendix).

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