How accurately can Z-score predict bank failure?
Bank risk is not directly observable, so empirical research relies on indirect measures. We evaluate how well Z‐score, the widely used accounting‐based measure of bank distance to default, can predict bank failure. Using the U.S. commercial banks’ data from 2004 to 2012, we find that on average, Z‐s...
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| Main Authors: | , , , |
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| Format: | Default Article |
| Published: |
2016
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| Subjects: | |
| Online Access: | https://hdl.handle.net/2134/11800968.v1 |
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