Measure used to assess stability in the financial market. The measure is more precisely the number of standard deviations of the asset value from the default threshold (defined as the point at which the value of a bank’s assets exactly equals the value of its liabilities, i.e. its equity is zero). The measure is determined using the market value of the assets, taking into account the volatility of the market value as well as the liabilities of the bank. The measure is widely regarded as one of the most reliable of the forward-looking risk estimates. – See Financial Stability Forum, liquidity risk, yield spread, risk, banking, risk, systematic, risk weighting, risk transparency. – Cf. ECB Monthly Bulletin of August 2002, p. 66, ECB Monthly Bulletin of February 2005, p. 64 ff (with overviews).

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University Professor Dr. Gerhard Merk, Dipl.rer.pol., Dipl.rer.oec.
Professor Dr. Eckehard Krah, Dipl.rer.pol.
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