Bank insolvency risk and Z-score measures with unimodal returns
Research output: Contribution to journal › Article › peer-review
Colleges, School and Institutes
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.
|Number of pages||3|
|Journal||Applied Economics Letters|
|Publication status||Published - 2011|
- insolvency risk, Z-score, unimodal, Vysochanskii–Petunin inequality, G21, G32