  We analyse time series of CDS spreads for a set of major US and European
institutions on a pe- riod overlapping the recent financial crisis. We extend
the existing methodology of {\epsilon}-drawdowns to the one of joint
{\epsilon}-drawups, in order to estimate the conditional probabilities of
abrupt co-movements among spreads. We correct for randomness and for finite
size effects and we find significant prob- ability of joint drawups for certain
pairs of CDS. We also find significant probability of trend rein- forcement,
i.e. drawups in a given CDS followed by drawups in the same CDS. Finally, we
take the matrix of probability of joint drawups as an estimate of the network
of financial dependencies among institutions. We then carry out a network
analysis that provides insights into the role of systemically important
financial institutions.
