On the consistency of the Z-score to measure the bank risk

Ion Lapteacru ()

No 1604, Larefi Working Papers from Larefi, Université Bordeaux 4

Abstract: This paper explores the effects of CEE banks’ balance sheet strategies and the impact of banking reforms on their risk-taking behaviour and assesses them with respect to banks’ ownership profile. With our asymmetric Z-score and Distance to Default, we find that state-owned banks are the riskiest and foreign banks the safest institutions. Moreover, the market perceives the former as being riskier regardless of their balance sheet policies. More interbank deposits and long-term funds increase the Z-scores of these banks to a larger extent, but more income diversification has the opposite effect. As for domestic private and foreign banks, these balance sheet policies do not affect the accounting-based risk measure of these institutions. Finally, in countries and periods with banking regulations that conform to the Basel requirements to a greater degree, foreign and private banks are less risky with respect to their Z-score and this effect is stronger for foreign institutions.

Keywords: JEL; Classifications: (search for similar items in EconPapers)
Pages: 53 pages
Date: 2016-04
References: Add references at CitEc
Citations: View citations in EconPapers (14)

Downloads: (external link)
http://lare-efi.u-bordeaux4.fr/IMG/pdf/CR16-EFI_04.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to lare-efi.u-bordeaux4.fr:80 (No such host is known. )

Related works:
Working Paper: On the consistency of the Z-score to measure the bank risk (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:laf:wpaper:cr1604

Access Statistics for this paper

More papers in Larefi Working Papers from Larefi, Université Bordeaux 4 Contact information at EDIRC.
Bibliographic data for series maintained by Cyril Mesmer ( this e-mail address is bad, please contact ).