Understanding how defaults correlate across firms is a persistent concern in risk management. In this paper, we apply … covariate-dependent copula models to assess the dynamic nature of credit risk dependence, which we define as "credit risk … clustering". We also study the driving forces of the credit risk clustering in CEC business group in China. Our empirical …

Assuming a risk-neutral bank and assuming household utility to be exponential, we show how under information symmetry …