Nonstationary Z-score measures

DOI10.1016/J.EJOR.2016.12.001zbMath1402.91921OpenAlexW3122625571WikidataQ57539166 ScholiaQ57539166MaRDI QIDQ1753443

Xianqiang Yang

Publication date: 29 May 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://www.pure.ed.ac.uk/ws/files/29364753/Z_score_latex.pdf

zbMATH Keywords

financial distressinsolvency riskbank stabilityprudential regulationZ-Score

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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