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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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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World Bank. (October 31, 2019). Probability of default of a country's banking system (Z-score) of banks in Europe 2017, by country [Graph]. In Statista. Retrieved July 22, 2024, from https://www.statista.com/statistics/1078384/bank-z-score-in-europe-by-country/
World Bank. "Probability of default of a country's banking system (Z-score) of banks in Europe 2017, by country." Chart. October 31, 2019. Statista. Accessed July 22, 2024. https://www.statista.com/statistics/1078384/bank-z-score-in-europe-by-country/
World Bank. (2019). Probability of default of a country's banking system (Z-score) of banks in Europe 2017, by country. Statista. Statista Inc.. Accessed: July 22, 2024. https://www.statista.com/statistics/1078384/bank-z-score-in-europe-by-country/
World Bank. "Probability of Default of a Country's Banking System (Z-score) of Banks in Europe 2017, by Country." Statista, Statista Inc., 31 Oct 2019, https://www.statista.com/statistics/1078384/bank-z-score-in-europe-by-country/
World Bank, Probability of default of a country's banking system (Z-score) of banks in Europe 2017, by country Statista, https://www.statista.com/statistics/1078384/bank-z-score-in-europe-by-country/ (last visited July 22, 2024)
Probability of default of a country's banking system (Z-score) of banks in Europe 2017, by country [Graph], World Bank, October 31, 2019. [Online]. Available: https://www.statista.com/statistics/1078384/bank-z-score-in-europe-by-country/
