Bank’s major approach in her internal rating system is credit scoring valuation which focused on corporates’ idiosyncratic risks and based on their financial indexes. Hence, an influence on corporates’ credit risks by business variation is not considered in her system. We model the effect...

This study assesses systemic risk in the US credit default swap (CDS) market. After the bankruptcy of Lehman Brothers, the market introduced risk mitigation tools, such as central clearing and portfolio compression in addition to existing netting and collateralization. Because CDSs typically...