A credit risk model for determining aggregated portfolio losses is suggested.Beside the common macrostructural dependencies between assetand recovery value, we incorporate possible inter-rm relations among theobligors of the portfolio. Through this channel we also establish relateddefault...

This paper provides, and empirically estimates, a model of sovereign default risk on external debt,in which the sovereign endogenously determines the timing of defaulting. The paper o¤ers theoreticalpredictions of the relationship between credit spreads and related macro-variables that are...