The risk of a credit portfolio depends crucially on correlations between the prob- ability of default (PD) in different economic sectors. Often, PD correlations have to be estimated from relatively short time series of default rates, and the resulting estimation error hinders the detection of a...

We analyze the size dependence and temporal stability of firm bankruptcy risk in the US economy by applying Zipf scaling techniques. We focus on a single risk factor - the debt-to-asset ratio R - in order to study the stability of the Zipf distribution of R over time. We find that the Zipf...