We examine the mechanism through which a financial crisis affects the default risk of real economy firms. We find that firms with strong dependence on bank financing suffer from higher increases in default risk than firms with no such dependence. Conversely, firms that rely solely on financing...

This article proposes a new measure of tail risk spillover: the conditional coexceedance (CCX), defined as the number of joint occurrences of extreme negative returns in an industry, conditional on an extreme negative return in the financial sector. The empirical application provides evidence of...