Should we trust the Z-score? Evidence from the European Banking Industry

被引：65

作者：

Chiaramonte, Laura ^{[1
]}

Croci, Ettore ^{[1
]}

Poli, Federica ^{[1
]}

机构：

[1] Univ Cattolica Sacro Cuore, Fac Econ, Dept Econ & Business Adm, Largo Gemelli 1, I-20123 Milan, Italy

来源：

GLOBAL FINANCE JOURNAL | 2015年 / 28卷

关键词：

Bank distress; Z-score; CAMELS; Financial crisis;

D O I：

10.1016/j.gfj.2015.02.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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-log models, 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 effective when bank business models may be more sophisticated as it is the case for large and commercial banks. (C) 2015 Elsevier Inc. All rights reserved.

引用

页码：111 / 131

页数：21

共 65 条

[1] Bank failures and bank fundamentals: A comparative analysis of Latin America and East Asia during the nineties using bank-level data [J].