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I have an Idea perhaps it helps you a bit (even though it deviates somewhat from your original setup). Let's assume you know the "anaffected" default probabilities for each bank $P(X_1<=C_1), \dots, P(X_n<=C_n)$. (Here I assumed that bank $i$ defaults when it's value falls below a certain value $C_i$) Now e.g. for bank $n$ you can calulate ...