Bank Z-score Europe 2017

According to the data source, a banks Z score is defined as "the probability of default of a country's banking system, calculated as a weighted average of the z-scores of a country's individual banks (the weights are based on the individual banks' total assets). Z-score compares a bank's buffers (capitalization and returns) with the volatility of those returns.
In 2017, the banking system in Luxembourg had the highest probability of default with a Z score of 44.7 percent.

Probability of default of a country's banking system (Z-score) of banks in Europe 2017, by country

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Release date

2019

More information

Region

United Kingdom

Survey time period

2017

Supplementary notes

The source added the following definition. "Z-score is estimated as (ROA+equity/assets)/sd(ROA); sd(ROA) is the standard deviation of ROA. It captures the probability of default of a country's banking system, calculated as a weighted average of the z-scores of a country's individual banks (the weights are based on the individual banks' total assets). Z-score compares a bank's buffers (capitalization and returns) with the volatility of those returns. It is estimated as (ROA+(equity/assets))/sd(ROA); sd(ROA) is the standard deviation of ROA. (Calculated from underlying bank-by-bank unconsolidated data from Bankscope)"

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