We highlight caveats arising in the application of traditional ROA-based Z-scores for the measurement of bank insolvency risk, develop alternative Z-score measures to resolve these issues, and make recommendations for best practice for the US/Europe based on the experience of the financial...

This paper examines the determinants of bank failures in the US banking system during the recent financial crisis. The analysis employs a data set on the financial statements of FDIC-insured commercial banks and their bank holding companies, along with information on bank failures, mergers and...

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

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...