From the 2007 subprime crisis to the recent Eurozone debt crisis, the banking industry has experienced terrible financial instability with increasing volatility levels of bank default probability. Using European CDS spreads data from January 2006 to March 2013, this paper sheds light on the impact of three recent significant events of credit risk volatility transmission between, firstly, Eurozone and non-Eurozone banks, and then between distressed peripheral and core countries inside the Eurozone. We employ an asymmetric multivariate BEKK model to measure cross-market volatility spillovers. We find that both recent crises are distinct episodes. The global financial crisis that originated outside Europe is characterized by unidirectional volatility spillovers in credit risk from inside to outside the Eurozone. By contrast, the Eurozone debt crisis is revealed to be local in nature with the euro as the key element, suggesting a financial market fragmentation within the Eurozone between distressed peripheral and non-distressed core Eurozone countries, whereas retaining the local currency has acted as a firewall.