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.

中文翻译：

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企业信用评级、银行业脆弱性和主权信用风险

本研究使用企业信用评级数据和以系统性事件为条件的银行业预期联合损失的新指标 （JLoss），记录了企业信用风险与国内银行业脆弱性之间的正相关。它还记录了企业信用评级和主权信用评级之间的关系在银行业陷入困境期间被放大。