Bank insolvency risk and different approaches to aggregate Z-score measures: a note

摘要

We discuss to what extent existing approaches to the construction of aggregate Z-score measures capture the notion of systemic soundness, propose some alternative ones that could be just as informative and have potential complementary value, and illustrate how these different approaches compare using a data set of Organisation for Economic Cooperation and Development (OECD) commercial, cooperative and savings banks for the period 1994-2008.