Before revision: We propose a credit risk approach in which financial institutions , modelled as a portfolio of risky assets characterized by a probability of default and a correlation matrix, are the nodes of a network whose links are credit exposures that would be partially lost in case of neighbours' default .
After revision: We propose a credit risk approach in which financial institutions , modelled as a portfolio of risky assets characterized by a probability of default (PD) of the banks and their tendency of defaulting in the same time interval. A contagion process increases the PD of banks exposed toward distressed counterparties .