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Bank insolvency risk and time-varying Z-score measures

Abstract : We compare the di¤erent 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 di¤erent ap-proaches best …t 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 cal-culated over full samples combined with current values of the capital-asset ratio, and is thus straightforward to implement.
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https://hal.archives-ouvertes.fr/hal-01098721
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Submitted on : Sunday, December 28, 2014 - 7:58:25 PM
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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, 25, pp.73 - 87. ⟨10.1016/j.intfin.2013.01.004⟩. ⟨hal-01098721⟩

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