An alternative Z-score measure for downside bank insolvency risk
Research output: Contribution to journal › Article
Authors
External organisations
- EconomiX, Université Paris Nanterre, France
- LAPE, Université de Limoges, Limoges, France
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.
Details
| Original language | English |
|---|---|
| Journal | Applied Economics Letters |
| Early online date | 13 Mar 2020 |
| Publication status | E-pub ahead of print - 13 Mar 2020 |
Keywords
- bank, insolvency risk, Z-score, downside risk, semivariance, Bank, z-score