How Accurately Can Z‐score Predict Bank Failure?
评估了Z分数这一会计指标预测美国商业银行倒闭的准确度，发现平均可预测76%的倒闭案例，且加入其他变量后预测能力未提升。
Bank risk is not directly observable, so empirical research relies on indirect measures. We evaluate how well Z‐score, the widely used accounting‐based measure of bank distance to default, can predict bank failure. Using the U.S. commercial banks’ data from 2004 to 2012, we find that on average, Z‐score can predict 76% of bank failure, and additional set of other bank‐ and macro‐level variables do not increase this predictability level. We also find that the prediction power of Z‐score to predict bank default remains stable within the three‐year forward window.