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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

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