The effect of the subprime crisis on the credit risk in global scale

► We analyze the correlation structure of the CDS spread and the influence of the subprime crisis on it. ► Clusters based on the continent criteria are well constructed. ► Correlation both inside clusters and between clusters became stronger after the subprime crisis. ► Causality test shows the direction of the lead lag effect between portfolios. ► The effect of single shock increases and response time relaxation became prolonged after the crisis.