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Article
Bank insolvency risk and aggregate Z-score measures: a caveat
Economics Bulletin (2010)
  • Frank Strobel, University of Birmingham
Abstract

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
Disciplines
Publication Date
2010
Citation Information
Frank Strobel. "Bank insolvency risk and aggregate Z-score measures: a caveat" Economics Bulletin Vol. 30 Iss. 4 (2010)
Available at: http://works.bepress.com/frank_strobel/9/