Latent fragility: Conditioning banks' joint probability of default on the financial cycle
提出CoJPoD框架，将银行联合违约概率（反映传染效应）与金融周期（反映杠杆积累与释放）联系起来，实证表明该指标在预警金融危机方面优于单一指标，有助于改进风险监测和压力测试。
We propose the CoJPoD, a novel framework explicitly linking the cross-sectional and cyclical dimensions of systemic risk . In this framework, banking sector distress in the form of the joint probability of default of financial intermediaries (reflecting contagion from both direct and indirect interconnectedness) is conditioned on the financial cycle (reflecting the buildup and unwinding of system-wide balance-sheet leverage). An empirical application to large systemic banks in the euro area, US and UK illustrates how the unraveling of excess leverage can magnify banking sector distress, including during the 2023 US banking sector turmoil. Capturing this dependence of banking sector distress on prevailing financial imbalances can enhance risk surveillance and stress testing alike. An empirical signaling exercise confirms that the CoJPoD outperforms the individual capacity of either its unconditional counterpart or the financial cycle in signaling financial crises – particularly at their onset – suggesting scope to increase the precision with which macroprudential policies are calibrated.