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
Mathieu Mercadier , Frank Strobel
{"title":"银行破产风险、Z-score 测量和单模态回报:改进","authors":"Mathieu Mercadier ,&nbsp;Frank Strobel","doi":"10.1016/j.qref.2024.101919","DOIUrl":null,"url":null,"abstract":"<div><p>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.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"98 ","pages":"Article 101919"},"PeriodicalIF":2.9000,"publicationDate":"2024-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S106297692400125X/pdfft?md5=1da907565b2e147df500a339c7581a80&pid=1-s2.0-S106297692400125X-main.pdf","citationCount":"0","resultStr":"{\"title\":\"Bank insolvency risk, Z-score measures and unimodal returns: A refinement\",\"authors\":\"Mathieu Mercadier ,&nbsp;Frank Strobel\",\"doi\":\"10.1016/j.qref.2024.101919\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>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.</p></div>\",\"PeriodicalId\":47962,\"journal\":{\"name\":\"Quarterly Review of Economics and Finance\",\"volume\":\"98 \",\"pages\":\"Article 101919\"},\"PeriodicalIF\":2.9000,\"publicationDate\":\"2024-09-10\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://www.sciencedirect.com/science/article/pii/S106297692400125X/pdfft?md5=1da907565b2e147df500a339c7581a80&pid=1-s2.0-S106297692400125X-main.pdf\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Quarterly Review of Economics and Finance\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S106297692400125X\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Quarterly Review of Economics and Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S106297692400125X","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}
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。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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.

求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
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.
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信