We investigate whether sovereign bond holdings of European banks are determined by a risk-return trade-off. Using data between 2011 and 2018 for 75 European banks, we confirm that banks exhibited risk-taking behavior during the sovereign debt crisis, e.g., due to moral suasion. In the period...

The Greek drama of the late 2000s has returned sovereign risk awareness to centre stage. The default affected a country with a relatively developed economy. It resulted in huge losses in the value of domestic assets: public debt, but also private debt, equity, real estate and furthermore pension...

For three countries of similar economic characteristics, I ratify previous studies of the impact of fundamental macroeconomic and foreign exchange variables influencing country risk, as captured by the Emerging Market Bond Index (EMBI). I contribute to existing research, first by calculating a...