Related papers: Bankruptcy risk model and empirical tests
Social employment, which is mostly carried by firms of different types, determines the prosperity and stability of a country. As time passing, the fluctuations of firm employment can reflect the process of creating or destroying jobs.…
With the development of the Internet, new kinds of massive epidemics, distributed attacks, virtual conflicts and criminality have emerged. We present a study of some striking statistical properties of cyber-risks that quantify the…
Evaluation of systemic risk in networks of financial institutions in general requires information of inter-institution financial exposures. In the framework of Debt Rank algorithm, we introduce an approximate method of systemic risk…
Zipf's power law is a general empirical regularity found in many natural and social systems. A recently developed theory predicts that Zipf's law corresponds to systems that are growing according to a maximally sustainable path in the…
We summarize a book under publication with his title written by the three present authors, on the theory of Zipf's law, and more generally of power laws, driven by the mechanism of proportional growth. The preprint is available upon request…
We address the issue of the distribution of firm size. To this end we propose a model of firms in a closed, conserved economy populated with zero-intelligence agents who continuously move from one firm to another. We then analyze the size…
Failure statistics of banks in the US show that their sizes are highly unequal (ranging from a few tens of thousands to over a billion dollars) and also, they come in `waves' of intermittent activities. This motivates a self-organized…
It is a well known fact that recovery rates tend to go down when the number of defaults goes up in economic downturns. We demonstrate how the loss given default model with the default and recovery dependent via the latent systematic risk…
Understanding how spatial configurations of economic activity emerge is important when formulating spatial planning and economic policy. A simple model was proposed by Simon, who assumed that firms grow at a rate proportional to their size,…
The stock market's reaction to the external risk shock is closely related to the cross-shareholding network structure. This paper takes the public information of listed companies in the A-share securities market as the primary sample to…
We propose coalescent mechanism of economic grow because of redistribution of external resources. It leads to Zipf distribution of firms over their sizes, turning to stretched exponent because of size-dependent effects, and predicts…
In bankruptcy prediction, the proportion of events is very low, which is often oversampled to eliminate this bias. In this paper, we study the influence of the event rate on discrimination abilities of bankruptcy prediction models. First…
The rank-size regularity known as Zipf's law is one of scaling laws and frequently observed within the natural living world and in social institutions. Many scientists tried to derive the rank-size scaling relation by entropy-maximizing…
In the aftermath of the global financial crisis, much attention has been paid to investigating the appropriateness of the current practice of default risk modeling in banking, finance and insurance industries. A recent empirical study by…
We identify a robust structural signature of stock markets during exogenous shock events by analyzing collective return dynamics across G5 countries. Using Random Matrix Theory, we introduce the complexity gap, defined as the difference…
Empirical diagnosis of stability has received considerable attention, mostly focused on variance metrics for early warning signals of abrupt system change. Despite this, the theoretical foundation and application has been limited to…
The personal income distribution (PID) above the Pareto threshold is studied and modeled. A microeconomic model is proposed to simulate the PID and its evolution below and above the Pareto income threshold. The model balances processes of…
We study simultaneous price drops of real stocks and show that for high drop thresholds they follow a power-law distribution. To reproduce these collective downturns, we propose a minimal self-organized model of cascade spreading based on a…
Corporate bankruptcy impacts the functioning of the economy as it impacts its various stakeholders: Shareholders, financial and operational lenders, and the government. This paper aims to study the impact of a wide array of profitability,…
Corporate failure resonates widely leaving practitioners searching for understanding of default risk. Managers seek to steer away from trouble, credit providers to avoid risky loans and investors to mitigate losses. Applying Topological…