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...

Banking segment is one of the ultimate key segments that support the sustainable economic progress in Jordan. Hence, banks in Jordan are considered as tremendously significant financial establishments that pursue profit by providing various financial services to various customers through dealing...