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| Frank Strobel |
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| ''Bank insolvency risk and aggregate Z-score measures: a caveat'' |
| ( 2010, Vol. 30 No.4 ) |
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| 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. |
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| Keywords: insolvency risk, aggregate Z-score, Jensen's inequality |
JEL: G2 - Financial Institutions and Services: General
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| Manuscript Received : Aug 31 2010 | | Manuscript Accepted : Oct 02 2010 |
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