Bank risk proxies and the crisis of 2007/09: a comparison

Felix Noth and Lena Tonzer

Applied Economics Letters, 2017, vol. 24, issue 7, 498-501

Abstract: The global financial crisis has again shown that it is important to understand the emergence and measurement of risks in the banking sector. However, there is no consensus in the literature which risk proxy works best at the level of the individual bank. A commonly used measure in applied work is the Z-score, which might suffer from calculation issues given poor data quality. Motivated by the variety of bank risk proxies, our analysis reveals that nonperforming assets are a well-suited complement to the Z-score in studies of bank risk.

Date: 2017
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DOI: 10.1080/13504851.2016.1205716

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