Research

Business Default Volatility

Default rates vary for a myriad of reasons.  They vary over time.  They vary across geographies and industry sectors.  And they vary across business size.  Understanding this variation is important for constructing and managing credit portfolios. The WAIN Street Business Default Index database contains all the details necessary for gauging this variability. We present here a new measure designed to capture the variability in default rates—Business Default Volatility.

Business Default Volatility

In the map above, segments based on industry sector and state are ranked using their default volatility.  At 7.98%, DC businesses in the Management of companies industry sector have the highest volatility. And at 0.14%, UT based ‘Professional, Scientific & Technical services’ businesses have the lowest default volatility.

The complete report is available here.