As the global banking crisis intensified in the fall of 2008, governments announced comprehensive rescue packages for financial institutions. In this paper, we put the joint response of euro area bank and sovereign CDS premia under the microscope. We find that the bank rescue packages led to a...

[...]This paper aims to ascertain the quality (that is, thepredictive power and prediction errors) of two marketindicators: the distance to default and the subordinated debtspread. Previous work has established that banks’ marketprices reflect contemporaneous information about bank riskin the...