All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC
ralph lauren polo

 
Frank Strobel
 
''Bank insolvency risk and aggregate Z-score measures: a caveat''
( 2010, Vol. 30 No.4 )
 
 
We demonstrate that a popular approach to constructing (weighted) mean-based aggregate bank insolvency risk measures is inherently biased; we also suggest an alternative approach that avoids this problem.
 
 
Keywords: insolvency risk, aggregate Z-score, Jensen's inequality
JEL: G2 - Financial Institutions and Services: General
 
Manuscript Received : Aug 31 2010 Manuscript Accepted : Oct 02 2010

  This abstract has been downloaded 303 times                The Full PDF of this paper has been downloaded 88587 times