On Bank Credit Risk: Systemic or Bank Specific? Evidence for the United States and United Kingdom
构建了一个多变量信用风险模型，将银行信用风险分解为系统性部分和银行特定部分，发现美国和英国在系统性风险演变和银行系统性敞口上存在差异，系统性信用风险约占银行总信用风险的一半，并导致高风险溢价。
Abstract We develop a multivariate credit risk model that accounts for joint defaults of banks and allows us to disentangle how much of banks’ credit risk is systemic. We find that the United States and United Kingdom differ not only in the evolution of systemic risk but, in particular, in their banks’ systemic exposures. In both countries, however, systemic credit risk varies substantially, represents about half of total bank credit risk on average, and induces high risk premia. The results suggest that sovereign and bank systemic risk are particularly interlinked in the United Kingdom.