Bank Z-score
It captures the probability of default of a country's banking system. Z-score compares the buffer of a country's banking system (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 for country-years with no less than 5 bank-level observations. ROA, equity, and assets are country-level aggregate figures. Calculated from underlying bank-by-bank unconsolidated data from Bankscope and Orbis. The result is not reported if a country-year has less than 3 bank-level observations.
It captures the probability of default of a country's commercial banking system. Z-score compares the buffer of a country's commercial banking system (capitalization and returns) with the volatility of those returns.