Bank insolvency risk and aggregate Z-score measures: a caveatEconomics Bulletin (2010)
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.
- insolvency risk,
- aggregate Z-score,
- Jensen's inequality
Citation InformationFrank 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/