Credit and Systemic Risks in the Financial Services Sector: Evidence From the 2008 Global Crisis
构建了一个包含公司特定马尔可夫转换机制和随机内生回收率的投资组合信用风险模型，利用35家金融公司的信用违约互换数据，分析了2005-2012年间各公司的信用风险及其统计关联，并研究了银行和保险子行业的系统性风险。
Abstract We develop a portfolio credit risk model that includes firm‐specific Markov‐switching regimes as well as individual stochastic and endogenous recovery rates. Using weekly credit default swap premiums for 35 financial firms, we analyze the credit risk of each of these companies and their statistical linkages, putting emphasis on the 2005–2012 period. Moreover, we study the systemic risk affecting both the banking and insurance subsectors.