摘要翻译：
运用Zipf尺度分析方法，分析了美国经济中企业破产风险的规模依赖性和时间稳定性。为了研究R的Zipf分布随时间的稳定性，我们将重点放在一个单一的风险因素--债务资产比率R上。在Zipf分析的基础上，我们利用贝叶斯定理，将破产企业具有比率R的条件概率与给定R值的企业破产的条件概率联系起来。对于2737家破产公司，我们证明了在破产程序中资产变化的规模依赖性。破产前企业资产和申请企业资产服从Zipf分布，但指数不同，这意味着在破产过程中，资产规模较小的企业比资产规模较大的企业调整资产的幅度更大。我们通过分析美国经济的两个大的子集：2545个纳斯达克会员和1680个纽约证券交易所会员的资产和负债来比较破产公司和非破产公司。我们发现资产和负债都服从帕累托分布。这一发现并不是由员工量化的公司规模的Zipf比例关系的微不足道的结果--尽管纳斯达克股票的市值遵循帕累托分布，但同样的分布并不描述纽约证券交易所的股票。我们提出了一个耦合的Simon模型，该模型在破产的情况下同时演化资产和债务，并考虑了企业合并的可能性。
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英文标题：
《Bankruptcy risk model and empirical tests》
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作者：
Boris Podobnik, Davor Horvatic, Alexander M. Petersen, Branko
  Uro\v{s}evi\'c, H. Eugene Stanley
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Physics        物理学
二级分类：Data Analysis, Statistics and Probability        数据分析、统计与概率
分类描述：Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件：数据处理与存储；测量方法；统计和数学方面，如参数化和不确定性。
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英文摘要：
  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 exponent increases during market crashes, implying that firms go bankrupt with larger values of R. Based on the Zipf analysis, we employ Bayes's theorem and relate the conditional probability that a bankrupt firm has a ratio R with the conditional probability of bankruptcy for a firm with a given R value. For 2,737 bankrupt firms, we demonstrate size dependence in assets change during the bankruptcy proceedings. Prepetition firm assets and petition firm assets follow Zipf distributions but with different exponents, meaning that firms with smaller assets adjust their assets more than firms with larger assets during the bankruptcy process. We compare bankrupt firms with nonbankrupt firms by analyzing the assets and liabilities of two large subsets of the US economy: 2,545 Nasdaq members and 1,680 New York Stock Exchange (NYSE) members. We find that both assets and liabilities follow a Pareto distribution. The finding is not a trivial consequence of the Zipf scaling relationship of firm size quantified by employees-although the market capitalization of Nasdaq stocks follows a Pareto distribution, the same distribution does not describe NYSE stocks. We propose a coupled Simon model that simultaneously evolves both assets and debt with the possibility of bankruptcy, and we also consider the possibility of firm mergers.
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PDF链接：
https://arxiv.org/pdf/1011.2670