The recent financial crisis proved that financial contagion could spread among countries resulting in disruptive effects. In this paper, by modeling and simulating banking system behavior and linkages across countries, we assess, based on data from the BIS and IMF, the possible outcome of...

This paper presents a new default risk model for market risk that is consistent with the requirements put forward by the Fundamental Review of the Trading Book. In particular, the model features correlated default times and stochastic recovery rates by exploiting the observed correlation between...