Bank insolvency risk and Z-score measures with unimodal returns

Research output: Contribution to journalArticlepeer-review

Authors

Colleges, School and Institutes

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.

Details

Original languageEnglish
Pages (from-to)1683-1685
Number of pages3
JournalApplied Economics Letters
Volume18
Issue number17
Publication statusPublished - 2011

Keywords

  • insolvency risk, Z-score, unimodal, Vysochanskii–Petunin inequality, G21, G32