Dynamic, intensity-based point process models are widely used to measure and price the correlated default risk in portfolios of credit-sensitive assets such as loans and corporate bonds. Monte Carlo simulation is an important tool for performing computations in these models. This paper develops,...

This paper develops dynamic measures of the systemic risk of the financial sector as a whole. It defines systemic risk as the conditional probability of failure of a sufficiently large fraction of the total population of financial institutions. This definition recognizes that the cause of...