We study the joint credit risk in the UK banking sector using the weekly CDS spreads of global systemically important banks over 2007–2015. We show that the time‐varying and asymmetric dependence structure of the CDS spread changes is closely related to the joint default probability that two or more banks simultaneously default. We are able to flexibly measure the joint credit risk at the high‐frequency level by applying the combination of the reduced‐form model and the GAS‐based dynamic asymmetric copula model to the CDS spreads. We also verify that much of the dependence structure of the CDS spread changes are driven by the market factors. Overall, our study demonstrates that the market factors are key inputs for the effective management of the systemic credit risk in the banking sector.