银行破产风险、Z-score 测量和单模态回报：改进

IF 2.9 3区经济学 Q1 ECONOMICS Quarterly Review of Economics and Finance Pub Date : 2024-09-10 DOI:10.1016/j.qref.2024.101919

Mathieu Mercadier , Frank Strobel

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引用次数: 0

摘要

我们借鉴单边 Vysochanskii-Petunin 不等式，在收益率单调性的额外假设下，根据 Z 分数为银行破产风险度量提出了细化的概率边界，类似于 Cantelli 不等式给出的概率边界。通过对美国银行的经验说明，我们认为：(i) 在这种情况下，收益率的单调性并不是一个限制性过强的假设；(ii) 改进后的计量方法提供了一个不那么保守的替代方案，可以替代根据（双面）维索汉斯基-佩图宁不等式得出的破产概率边界，尤其是对于破产风险水平较高的银行而言。

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Bank insolvency risk, Z-score measures and unimodal returns: A refinement

We develop refined probability bounds for bank insolvency risk measures based on the Z-score, analogous to those given by Cantelli’s inequality under the additional assumption of unimodality of returns, drawing on the one-sided Vysochanskii-Petunin inequality. Illustrating empirically for US banks, we argue that (i) unimodality of returns is not an overly restrictive assumption in this context, and (ii) the refined measures provide a less conservative alternative to insolvency probability bounds drawing on the (two-sided) Vysochanskii-Petunin inequality, particularly for banks with higher levels of insolvency risk.

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来源期刊

Quarterly Review of Economics and Finance ECONOMICS-

CiteScore

6.00

自引率

2.90%

发文量

118

期刊介绍： The Quarterly Review of Economics and Finance (QREF) attracts and publishes high quality manuscripts that cover topics in the areas of economics, financial economics and finance. The subject matter may be theoretical, empirical or policy related. Emphasis is placed on quality, originality, clear arguments, persuasive evidence, intelligent analysis and clear writing. At least one Special Issue is published per year. These issues have guest editors, are devoted to a single theme and the papers have well known authors. In addition we pride ourselves in being able to provide three to four article "Focus" sections in most of our issues.