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The Joint Credit Risk of UK Global-Systemically Important Banks

Cerrato, Mario - 2019

We study the joint credit risk in the UK banking sector using the weekly CDS spreads of global systemically important banks over 2007-2015. We show that the time-varying and asymmetric dependence structure of the CDS spread changes is closely related to the joint default probability that two or...

Persistent link: https://www.econbiz.de/10012903876