An alternative Z-score measure for downside bank insolvency risk

Research output: Contribution to journalArticlepeer-review


Colleges, School and Institutes

External organisations

  • 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.

Bibliographic note

Publisher Copyright: © 2020 Informa UK Limited, trading as Taylor & Francis Group. Copyright: Copyright 2020 Elsevier B.V., All rights reserved.


Original languageEnglish
Pages (from-to)137-142
JournalApplied Economics Letters
Issue number2
Early online date13 Mar 2020
Publication statusPublished - 4 Jan 2021


  • bank, insolvency risk, Z-score, downside risk, semivariance, Bank, z-score

ASJC Scopus subject areas