@techreport{36015,
  abstract     = {{Employing time series of single-name CDS market spreads from 29 European banks located in the EU-12 plus Switzerland and the UK over the period from January 2004 through September 2010 this paper analyses the relationship between increasing sovereign risk and bank-specific CDS pricing. Results from calculating relative CDS spread deviations (model minus market spreads) initially reveal a price bubble in the European CDS market until the beginning of the financial crisis in mid-2007. From this point in time the gap narrows remarkably during the financial crisis and sovereign debt crisis period. Corresponding to these findings, the empirical analysis reveals a negative impact of sovereign risk on calculated CDS spread differentials indicating a spill-over effect between sovereign risk and bank risk and hence, a positive effect on bank-specific CDS pricing. Further analyses reveal that the perception of sovereign risk is not crisis- but country-dependent suggesting that bank-specific CDS market spreads may already include a premium to cover sovereign risk from PIIGS countries during the pre-crisis period in Europe. }},
  author       = {{Meine, Christian and Michalak, Tobias C. and Uhde, André}},
  keywords     = {{Sovereign risk, Structural credit risk models, bank-specific CDS pricing}},
  publisher    = {{Paderborn University}},
  title        = {{{Sovereign Risk and Bank-Specific CDS Pricing}}},
  year         = {{2012}},
}