Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 2, 2017 erstellt
Beschreibung:
We examine European banks' exposures to systematic and country-specific sovereign risk. We organize our investigation around a multifactor affine credit risk model estimated on CDS data of different maturities. During the 2008-2015 period, about one third of banks' credit risk is sovereign. However, banks strongly differ both in the magnitude and type of their sovereign exposures. Measures of indirect exposures, such as bank size and ROE, capture these cross-sectional differences better than measures of direct exposures. Furthermore, the properties of the distress risk premiums turn out to be important to understand the effect of sovereign risk on bank funding costs