2025-11-182025-11-18https://repositorio.uandes.cl/handle/uandes/53391<p>Using corporate credit rating data and a new metric of the expected joint loss of the banking sector conditional on a systemic event (JLoss), this study documents a positive association between corporate credit risk and domestic banking fragility. It also documents that the relationship between corporate and sovereign credit ratings amplifies during periods of banking distress.</p>info:eu-repo/semantics/restrictedAccessBanking fragilityCorporate credit riskCredit ratingsSovereign riskArticle