An alternative Z-score measure for downside bank insolvency risk

Laetitia Lepetit, Frank Strobel, Thu Ha Tran

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)
187 Downloads (Pure)


We derive a Z-score measure reflecting downside bank insolvency risk, drawing on a Chebyshev inequality in terms of the lower semivariance. As then illustrated empirically for US banks, this may provide a useful alternative, or robustness check, to the more commonly used Z-score measure based on the standard Chebyshev inequality.
Original languageEnglish
Pages (from-to)137-142
JournalApplied Economics Letters
Issue number2
Early online date13 Mar 2020
Publication statusPublished - 4 Jan 2021

Bibliographical note

Publisher Copyright:
© 2020 Informa UK Limited, trading as Taylor & Francis Group.

Copyright 2020 Elsevier B.V., All rights reserved.


  • bank
  • insolvency risk
  • Z-score
  • downside risk
  • semivariance
  • Bank
  • z-score

ASJC Scopus subject areas

  • Economics and Econometrics


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