{"date_updated":"2024-04-17T13:35:10Z","user_id":"21810","type":"working_paper","language":[{"iso":"eng"}],"abstract":[{"lang":"eng","text":"Employing time series of single-name CDS market spreads from 29 European banks located in the\r\nEU-12 plus Switzerland and the UK over the period from January 2004 through September 2010 this paper\r\nanalyses the relationship between increasing sovereign risk and bank-specific CDS pricing. Results from\r\ncalculating relative CDS spread deviations (model minus market spreads) initially reveal a price bubble in the\r\nEuropean CDS market until the beginning of the financial crisis in mid-2007. From this point in time the gap\r\nnarrows remarkably during the financial crisis and sovereign debt crisis period. Corresponding to these findings,\r\nthe empirical analysis reveals a negative impact of sovereign risk on calculated CDS spread differentials\r\nindicating a spill-over effect between sovereign risk and bank risk and hence, a positive effect on bank-specific\r\nCDS pricing. Further analyses reveal that the perception of sovereign risk is not crisis- but country-dependent\r\nsuggesting that bank-specific CDS market spreads may already include a premium to cover sovereign risk from\r\nPIIGS countries during the pre-crisis period in Europe."}],"citation":{"ieee":"A. Uhde, T. Michalak, and C. Meine, <i>Sovereign risk and bank-specific CDS pricing</i>. 2012.","short":"A. Uhde, T. Michalak, C. Meine, Sovereign Risk and Bank-Specific CDS Pricing, 2012.","bibtex":"@book{Uhde_Michalak_Meine_2012, title={Sovereign risk and bank-specific CDS pricing}, author={Uhde, André and Michalak, Tobias and Meine, Christian}, year={2012} }","chicago":"Uhde, André, Tobias Michalak, and Christian Meine. <i>Sovereign Risk and Bank-Specific CDS Pricing</i>, 2012.","apa":"Uhde, A., Michalak, T., &#38; Meine, C. (2012). <i>Sovereign risk and bank-specific CDS pricing</i>.","mla":"Uhde, André, et al. <i>Sovereign Risk and Bank-Specific CDS Pricing</i>. 2012.","ama":"Uhde A, Michalak T, Meine C. <i>Sovereign Risk and Bank-Specific CDS Pricing</i>.; 2012."},"author":[{"orcid":"https://orcid.org/0000-0002-8058-8857","last_name":"Uhde","id":"36049","first_name":"André","full_name":"Uhde, André"},{"full_name":"Michalak, Tobias","first_name":"Tobias","last_name":"Michalak"},{"first_name":"Christian","last_name":"Meine","full_name":"Meine, Christian"}],"_id":"34909","status":"public","title":"Sovereign risk and bank-specific CDS pricing","department":[{"_id":"19"}],"year":"2012","date_created":"2022-12-23T11:00:29Z"}