Chuỗi hội thảo nghiên cứu trong lĩnh vực Ngân hàng – Tài chính – Kinh tế (SOBSR#18)

Research Paper:

Measuring Bank Risk: An Exploration of Z-Score

Link: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2823946

Author(s):         Xiping Li, Chris Malone and David Tripe

Presenter: Assoc.Professor David Tripe, Massey University

Language: English   

Abstract:  

This paper compares different approaches to construct time-varying z-score measures, with different ways to compute elements of z-score, optimal time length and data frequency over which it is measured. Our empirical results on New Zealand and Australian banks are supportive of the measure, which uses rolling mean and standard deviation (or range between maximum and minimum) of ROA, combined with current period value of equity-to-asset ratio. We define z-score based systemic risk measures, i.e. aggregate z-score and minus one bank z-score. Aggregate z-score and minus one bank z-score clearly identify the four largest New Zealand banks as systemically important. We finally propose a risk-adjusted z-score, which is proved to be effective at capturing bank idiosyncratic risk and systemic risk          

¹ http://www.massey.ac.nz/massey/expertise/profile.cfm?stref=537230

Professor David Tripe is Director of Research Center of Finance – Banking, Deputy Dean of Economics, Finance, Massey University, New Zealand. His research themes focus on the banking sector as risks in the banking business, the bank performance, competition in the banking sector, bank liquidity, microfinance, management of assets and liabilities, interest rates and monetary policy. His research papers were published on top journals such as The Journal of Banking & Finance, Journal of International Financial Markets, Institutions and Money; Journal of Banking and Financial Services; Journal of Financial Economic Policy; Pacific Basin Finance Journal … He is also a consultant of the central bank and the government of New Zealand and serves as an Associate Editor of highly rated academic journals – Journal of International Financial Markets, Institutions and Money; Journal of Banking and Finance and Managing Editor of International Journal of Monetary Economics and Finance.