An alternative Z-score measure for downside bank insolvency risk
Research output: Contribution to journal › Article › peer-review
Colleges, School and Institutes
- EconomiX, Université Paris Nanterre
- Université de Limoges
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.
Publisher Copyright: © 2020 Informa UK Limited, trading as Taylor & Francis Group. Copyright: Copyright 2020 Elsevier B.V., All rights reserved.
|Journal||Applied Economics Letters|
|Early online date||13 Mar 2020|
|Publication status||Published - 4 Jan 2021|
- bank, insolvency risk, Z-score, downside risk, semivariance, Bank, z-score