Alter, Adrian; Schüler, Yves S. - In: Journal of Banking & Finance 36 (2012) 12, pp. 3444-3468
We investigate the interdependence of the default risk of several Eurozone countries (France, Germany, Italy, Ireland, the Netherlands, Portugal, and Spain) and their domestic banks during the period between June 2007 and May 2010, using daily credit default swaps (CDS). Bank bailout programs...