Projects per year
Abstract / Description of output
Z-score measures for estimating the probability of bank insolvency.
The measures, taken from "Nonstationary Z-score measures" in the European Journal of Operational Research (2017), by Davide Mare, Roberto Rossi and Fernando Moreira. The measures are implemented in a neat package that allows the user to choose between several statistics. Hence, the package provides flexibility. It is important that the data is in a NxP matrix format, where the 3rd column represents the Return on Assets for a bank, and the fourth column represents the Capital Adequancy Ratio (Equity/Assets).
The measures, taken from "Nonstationary Z-score measures" in the European Journal of Operational Research (2017), by Davide Mare, Roberto Rossi and Fernando Moreira. The measures are implemented in a neat package that allows the user to choose between several statistics. Hence, the package provides flexibility. It is important that the data is in a NxP matrix format, where the 3rd column represents the Return on Assets for a bank, and the fourth column represents the Capital Adequancy Ratio (Equity/Assets).
| Original language | English |
|---|---|
| Publication status | Published - 2017 |
Keywords / Materials (for Non-textual outputs)
- banking
- risk management
- risk assessment
- risk analysis
- finance
- operational research
- rstudio
- r
- statistics
- non-stationary
- nonstationary
Fingerprint
Dive into the research topics of 'zmeasures'. Together they form a unique fingerprint.Projects
- 1 Finished
-
R, STATA and Excel nonstationary Z-Score measure implementations
Mare, D., Moreira, F. & Rossi, R.
1/06/17 → 1/01/18
Project: University Awarded Project Funding
Research output
- 1 Article
-
Nonstationary Z-score measures
Mare, D., Moreira, F. & Rossi, R., Jul 2017, In: European Journal of Operational Research. 260, 1, p. 348-358 11 p.Research output: Contribution to journal › Article › peer-review
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