Latent Fragility: Conditioning Banks' Joint Probability of Default on the Financial Cycle

Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the European Banking Sector

“…Using copula default dependencies, Segoviano and Goodhart (2009) define the probability of at least one more bank defaulting given a default in a particular bank (PAO). In a similar approach Bochmann et al (2022) use the joint probability of default (JPD) between banks allowing it to vary with the financial cycle, as a measure of systemic contagion.…”