Bank insolvency risk and Z-score measures with unimodal returns
Frank Strobel
Applied Economics Letters, 2011, vol. 18, issue 17, 1683-1685
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.
Keywords: insolvency risk; Z-score; unimodal; Vysochanskii-Petunin inequality (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:18:y:2011:i:17:p:1683-1685
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DOI: 10.1080/13504851.2011.558474
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