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نمره z نامتقارن
Risk-taking channel Monetary policy Asymmetric Z-score Distance to Default Shadow interest rate Panel threshold model
Using a dynamic panel model with a threshold effect, we estimate this effect on two measures of bank risk: the Distance to Default, which reflects the market perception of risk, and the asymmetric Z-score, which corresponds to an accounting-based measure of the risk.
The last contribution is that we use different complementary measures of bank risk: the asymmetric Z-score, applying the real distribution of the Return on Assets (ROA) variable, and the Distance to Default (DD) measure.
This section explains the methodology used to estimate our mea- sures of bank risk, namely an asymmetric Z-score and the Distance to Default.
The asymmetric Z-score
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