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 |
|---|---|
| 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