Li, Junye; Zinna, Gabriele - Banca d'Italia - 2014
We develop a multivariate credit risk model for the term structures of sovereign and bank credit default swaps. First …-specific credit risk. Banks� sovereign risk exposures vary with banks� size, their holdings of sovereign debt, and expected … government support. On average, 45% of French and Spanish banks' credit risk consists in sovereign risk, compared with only 30 …