An alternative Z-score measure for downside bank insolvency risk

Laetitia Lepetit; Frank Strobel; Thu Ha Tran

doi:10.1080/13504851.2020.1739222

An alternative Z-score measure for downside bank insolvency risk

Laetitia Lepetit, Frank Strobel, Thu Ha Tran

Economics

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

268 Downloads (Pure)

Abstract

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 language	English
Pages (from-to)	137-142
Journal	Applied Economics Letters
Volume	28
Issue number	2
Early online date	13 Mar 2020
DOIs	https://doi.org/10.1080/13504851.2020.1739222
Publication status	Published - 4 Jan 2021

Bibliographical note

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

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

Keywords

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

ASJC Scopus subject areas

Economics and Econometrics

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10.1080/13504851.2020.1739222Licence: None: All rights reserved

Lepetit_et_al_An_alternative_Z_score_measure_for_downside_bank_insolvency_risk_Applied_Economics_Letters_2020
This is an Accepted Manuscript of an article published by Taylor & Francis in Applied Economics Letters on 13/03/2020, available online: https://doi.org/10.1080/13504851.2020.1739222
Accepted author manuscript, 224 KB

Cite this

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An alternative Z-score measure for downside bank insolvency risk

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

Access to Document

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Cite this