Alter, Adrian; Schüler, Yves S. - In: Journal of Banking & Finance 36 (2012) 12, pp. 3444-3468
daily credit default swaps (CDS). Bank bailout programs changed the composition of both banks’ and sovereign balance sheets … suggest that in the period before bank bailouts the contagion disperses from bank credit spreads into the sovereign CDS market … series. The interdependence of government and bank credit risk is heterogeneous across countries, but homogeneous within the …