Abstract
We specialize the established justification for using Z-scores as a risk measure reflecting a bank's probability of insolvency to the case where the bank's distribution of returns is unimodal, obtaining a refined upper bound of the probability of insolvency for this potentially useful special case.
Original language | English |
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Pages (from-to) | 1683-1685 |
Number of pages | 3 |
Journal | Applied Economics Letters |
Volume | 18 |
Issue number | 17 |
DOIs | |
Publication status | Published - 2011 |
Keywords
- insolvency risk,
- Z-score
- unimodal
- Vysochanskii–Petunin inequality
- G21
- G32