Abstract

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).
Original languageEnglish
Publication statusPublished - 2017

Keywords

  • banking
  • risk management
  • risk assessment
  • risk analysis
  • finance
  • operational research
  • rstudio
  • r
  • statistics
  • non-stationary
  • nonstationary

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