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دارایی خالص (حقوق صاحبان سهام) بانک
The underlying idea of the Z-score is that since the bank is supposed to become insolvent when its current losses exhaust capital, Car + ROA ≤0, we can estimate the likelihood of insolvency by assuming that this likelihood refers to the probability that ROA ≤-Car (or Car < n), with Car the bank's equity to asset ratio, ROA its return on asset ratio (Lepetit and Strobel, 2015), and π is the bank's losses.
Thus, bank size affects the Z-score via its effects on bank equity.
"Interest Rate Risk and Bank Equity Valuations", Finance and Economics Discussion Series 2012-26, Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board.
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