We compare the different existing approaches to the construction of time-varying Z-score measures, plus an additional alternative one, using a panel of banks for the G20 group of countries covering the period 1992–2009. We examine which ways of estimating the moments used in these different...

We re-examine the probabilistic foundation of the link between Z-score measures and banks' probability of insolvency, offering an improved measure and banks' probability of insolvency, offering an improved measure of that probability without imposing further distributional assumptions. While the...