  In this paper, we propose a two-sector Markovian infectious model, which is
an extension of Greenwood's model. The central idea of this model is that the
causality of defaults of two sectors is in both direction, which enrich
dependence dynamics. The Bayesian Information Criterion is adopted to compare
the proposed model with the two-sector model in credit literature using the
real data. We find that the newly proposed model is statistically better than
the model in past literature. We also introduce two measures: CRES and CRVaR to
give risk evaluation of our model.
