{"publication_status":"published","date_updated":"2023-01-11T11:05:44Z","publisher":"Paderborn University","year":"2012","status":"public","jel":["G01","G12","G14","G18","G21"],"date_created":"2023-01-11T11:00:57Z","type":"working_paper","title":"Sovereign Risk and Bank-Specific CDS Pricing","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":[{"last_name":"Meine","full_name":"Meine, Christian","first_name":"Christian"},{"last_name":"Michalak","first_name":"Tobias C.","full_name":"Michalak, Tobias C."},{"first_name":"André","full_name":"Uhde, André","last_name":"Uhde","id":"36049"}],"citation":{"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.","chicago":"Meine, Christian, Tobias C. Michalak, and André Uhde. <i>Sovereign Risk and Bank-Specific CDS Pricing</i>. Paderborn University, 2012.","ama":"Meine C, Michalak TC, Uhde A. <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.","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} }"},"keyword":["Sovereign risk","Structural credit risk models","bank-specific CDS pricing"],"user_id":"21810","_id":"36015","department":[{"_id":"186"},{"_id":"188"}],"language":[{"iso":"eng"}]}