;In this paper, we introduce a model to analyze credit risk where the log-monetary reserves are driven by the coupled diffusions. The default is described as the assets of firm less than the book value of the liabilities in the maturity time T. In the different measure, the Merton’s model has a different presentation. In the empirical study, we use the Maximum Likelihood technique to estimate the parameters of the coupled diffusions, and analyze the systemic risk of the firms. Compared to the KMV-Merton model, the joint default probability given by the coupled diffusions is seen as a rare event treated as systemic risk.
