This paper proposes a new class of copula-based dynamic models for high-dimensional conditional distributions, facilitating the estimation of a wide variety of measures of systemic risk. Our proposed models draw on successful ideas from the literature on modeling high-dimensional covariance matrices and on recent work on models for general time-varying distributions. Our use of copula-based models enables the estimation of the joint model in stages, greatly reducing the computational burden. We use the proposed new models to study a collection of daily credit default swap (CDS) spreads on 100 U.S. …rms over the period 2006 to 2012. We …nd that while the probability of distress for individual …rms has greatly reduced since the …nancial crisis of 2008-09, the joint probability of distress (a measure of systemic risk) is substantially higher now than in the pre-crisis period. Joint with Dong Hwan Ohy (Federal Reserve Board)

Keywords: correlation, tail risk, …nancial crises, DCC.
J.E.L. codes: C32, C58, G01.