sovereign debt exposures and the implications of sovereign exposures for bank risk. Our main findings are as follows. First … impact of sovereign bond holdings on bank risk. This result could indicate the widespread absence of marking-to-market for … sovereign bond holdings at the onset of the sovereign debt crisis in Europe. …

protection selling in CDS, the effect being weaker when sovereign risk is high. Bank and country risk variables are mostly not … building a complete picture and understanding fully the economic drivers of the bank-sovereign nexus of risk …

We analyse the effects of sovereign risk premium on bank profitability amongst 154 Eurozone banks during the period …

protection selling in CDS, the effect being weaker when sovereign risk is high. Bank and country risk variables are mostly not … building a complete picture and understanding fully the economic drivers of the bank-sovereign nexus of risk …

Purpose: The purpose of this paper is to discuss and then analyze the interdependency between bank and sovereign risk … eurozone, and the remaining five belong to neither group. This provides a good comparison group of countries. Findings: We find … evidence supporting the existence of significant bank and sovereign risk linkages. There are, however, different patterns in …

German banks' ownership structure, heterogeneity in the states' fiscal strength and detailed bank-level panel data on German … banks' state bond portfolio on the security- and bank-level for the time period Q4:2005-Q2:2014. Results show that home …

We analyse whether different levels of country ties to Europe among the rating agencies Moody’s, S&P, and Fitch affect … the assignment of sovereign credit ratings, using the Eurozone sovereign debt crisis of 2009-2012 as a natural laboratory …. We find that Fitch, the rating agency among the "Big Three" with significantly stronger ties to Europe compared to its …