Bank insolvency risk and aggregate Z-score measures: a caveat

Frank Strobel

Economics Bulletin, 2010, vol. 30, issue 4, 2576-2578

Abstract: We demonstrate that a popular approach to constructing (weighted) mean-based aggregate bank insolvency risk measures is inherently biased; we also suggest an alternative approach that avoids this problem.

Keywords: insolvency risk; aggregate Z-score; Jensen's inequality (search for similar items in EconPapers)
JEL-codes: G2 (search for similar items in EconPapers)
Date: 2010-10-02
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Citations: View citations in EconPapers (8)

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