An alternative Z-score measure for downside bank insolvency risk
Research output: Contribution to journal › Article › peer-review
Authors
Colleges, School and Institutes
External organisations
- EconomiX, Université Paris Nanterre
- Université de Limoges
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.
Bibliographic note
Publisher Copyright:
© 2020 Informa UK Limited, trading as Taylor & Francis Group.
Copyright:
Copyright 2020 Elsevier B.V., All rights reserved.
Details
| Original language | English |
|---|---|
| Pages (from-to) | 137-142 |
| Journal | Applied Economics Letters |
| Volume | 28 |
| Issue number | 2 |
| Early online date | 13 Mar 2020 |
| Publication status | Published - 4 Jan 2021 |
Keywords
- bank, insolvency risk, Z-score, downside risk, semivariance, Bank, z-score