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Article dans une revue

Bank insolvency risk and time-varying Z-score measures

Abstract : We compare the different existing approaches to the construction of time-varying Z-score measures, plus an additional alternative one, using a panel of banks for the G20 group of countries covering the period 1992-2009. We examine which ways of estimating the moments used in these different approaches best fit the data, using a simple root mean squared error criterion. Our results are supportive of our alternative time-varying Z-score measure: it uses mean and standard deviation estimates of the return on assets calculated over full samples combined with current values of the capital-asset ratio, and is thus straightforward to implement.
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Contributeur : Françoise Merigaud <>
Soumis le : mercredi 6 février 2013 - 15:48:08
Dernière modification le : vendredi 6 mars 2020 - 02:05:57

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Laetitia Lepetit, Frank Strobel. Bank insolvency risk and time-varying Z-score measures. Journal of International Financial Markets, Institutions and Money, Elsevier, 2013, In press. ⟨10.1016/j.intfin.2013.01.004,⟩. ⟨hal-00785646⟩



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