---
_id: '36015'
abstract:
- lang: eng
  text: '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:
- first_name: Christian
  full_name: Meine, Christian
  last_name: Meine
- first_name: Tobias C.
  full_name: Michalak, Tobias C.
  last_name: Michalak
- first_name: André
  full_name: Uhde, André
  id: '36049'
  last_name: Uhde
citation:
  ama: Meine C, Michalak TC, Uhde A. <i>Sovereign Risk and Bank-Specific CDS Pricing</i>.
    Paderborn University; 2012.
  apa: Meine, C., Michalak, T. C., &#38; Uhde, A. (2012). <i>Sovereign Risk and Bank-Specific
    CDS Pricing</i>. Paderborn University.
  bibtex: '@book{Meine_Michalak_Uhde_2012, title={Sovereign Risk and Bank-Specific
    CDS Pricing}, publisher={Paderborn University}, author={Meine, Christian and Michalak,
    Tobias C. and Uhde, André}, year={2012} }'
  chicago: Meine, Christian, Tobias C. Michalak, and André Uhde. <i>Sovereign Risk
    and Bank-Specific CDS Pricing</i>. Paderborn University, 2012.
  ieee: C. Meine, T. C. Michalak, and A. Uhde, <i>Sovereign Risk and Bank-Specific
    CDS Pricing</i>. Paderborn University, 2012.
  mla: Meine, Christian, et al. <i>Sovereign Risk and Bank-Specific CDS Pricing</i>.
    Paderborn University, 2012.
  short: C. Meine, T.C. Michalak, A. Uhde, Sovereign Risk and Bank-Specific CDS Pricing,
    Paderborn University, 2012.
date_created: 2023-01-11T11:00:57Z
date_updated: 2023-01-11T11:05:44Z
department:
- _id: '186'
- _id: '188'
jel:
- G01
- G12
- G14
- G18
- G21
keyword:
- Sovereign risk
- Structural credit risk models
- bank-specific CDS pricing
language:
- iso: eng
publication_status: published
publisher: Paderborn University
status: public
title: Sovereign Risk and Bank-Specific CDS Pricing
type: working_paper
user_id: '21810'
year: '2012'
...