An alternative Z-score measure for downside bank insolvency risk

Laetitia Lepetit, Frank Strobel and Thu Ha Tran

Applied Economics Letters, 2021, vol. 28, issue 2, 137-142

Abstract: We derive a Z-score measure reflecting downside bank insolvency risk, drawing on a Chebyshev inequality in terms of the lower semivariance. As then illustrated empirically for US banks, this may provide a useful alternative, or robustness check, to the more commonly used Z-score measure based on the standard Chebyshev inequality.

Date: 2021
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DOI: 10.1080/13504851.2020.1739222

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