We develop a multivariate credit risk model that accounts for joint defaults of banks and allows us to disentangle how much of banks' credit risk is systemic. We find that the US and UK differ not only in the evolution of systemic risk, but in particular in their banks' systemic exposures. In...

We develop a multivariate credit risk model that accounts for joint defaults of banks and allows us to disentangle how much of banks' credit risk is systemic. We find that the US and UK differ not only in the evolution of bank systemic risk, but also in their banks' systemic exposures. In both...

We develop a multivariate credit risk model for the term structures of sovereign and bank credit default swaps. First, we separate the probability of joint defaults of large Eurozone sovereigns (systemic risk) from that of sovereign-specific defaults (country risk). Then, we quantify individual...

The forward-intensity model of Duan, {et al} (2012) is a parsimonious and practical way for predicting corporate defaults over multiple horizons. However, it has a noticeable shortcoming because default correlations through intensities are conspicuously absent when the prediction horizon is more...