Bank insolvency risk and time-varying Z-score measures

Laetitia Lepetit, Frank Strobel

Research output: Contribution to journalArticlepeer-review

92 Citations (Scopus)


We compare the different existing approaches to the construction of time-varying Z-score measures, plus an additional alternative one, using a panel of banks for the G20 group of countries covering the period 1992–2009. We examine which ways of estimating the moments used in these different approaches best fit the data, using a simple root mean squared error criterion. Our results are supportive of our alternative time-varying Z-score measure: it uses mean and standard deviation estimates of the return on assets calculated over full samples combined with current values of the capital-asset ratio, and is thus straightforward to implement.
Original languageEnglish
Pages (from-to)73-87
JournalJournal of International Financial Markets, Institutions and Money
Early online date24 Jan 2013
Publication statusPublished - Jul 2013


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