Abstract
We investigate the accuracy of the Z-score, a widely used proxy of bank
soundness, on a sample of European banks from 12 countries over the
period 2001–2011. Specifically, we run a horse race analysis between
the Z-score and the CAMELS related covariates. Using probit and complementary
log–logmodels, we find that the Z-score's ability to identify
distress events, both in the whole period and during the crisis years
(2008–2011), is at least as good as the CAMELS variables, but with the
advantage of being less data demanding. Finally, the Z-score proves to
be more effectivewhen bank businessmodelsmay be more sophisticated
as it is the case for large and commercial banks.
Lingua originale | English |
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pagine (da-a) | 111-131 |
Numero di pagine | 21 |
Rivista | Global Finance Journal |
DOI | |
Stato di pubblicazione | Pubblicato - 2015 |
Keywords
- Bank distress
- Camels
- Financial crisis
- Z-score