An alternative Z-score measure for downside bank insolvency risk

Laetitia Lepetit, Frank Strobel and Thu Ha Tran (thu-ha.tran@unilim.fr)
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Laetitia Lepetit: LAPE - Laboratoire d'Analyse et de Prospective Economique - GIO - Gouvernance des Institutions et des Organisations - UNILIM - Université de Limoges
Thu Ha Tran: EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique

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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: 2020
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Published in Applied Economics Letters, 2020, 28 (2), pp.137-142. ⟨10.1080/13504851.2020.1739222⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02519029

DOI: 10.1080/13504851.2020.1739222

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