The article examines how much of a bank's credit risk comes from the risk of a country defaulting on its debt. The researchers created a model to analyze the credit risk of both countries and banks in the Eurozone. They found that French and Spanish banks have more exposure to sovereign risk compared to Italian and German banks. On average, 45% of French and Spanish banks' credit risk is due to sovereign risk, while it is only 30% for Italian and 23% for German banks. The type of contracts banks have can also give insights into the risk of a country defaulting.