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The effect of stressed economic conditions on credit risk in Basel II

Author

Listed:
  • Ja’nel Esterhuysen

    (Absa Capital: Investment Bank Division of Absa Bank and School of Economics, North-West University)

  • Gary van Vuuren and Paul Styger

    (School of Economics, North-West University)

Abstract

No abstract is available for this item.

Suggested Citation

  • Ja’nel Esterhuysen & Gary van Vuuren and Paul Styger, 2011. "The effect of stressed economic conditions on credit risk in Basel II," South African Journal of Economic and Management Sciences, University of Pretoria, Faculty of Economic and Management Sciences, vol. 14(2), pages 122-137, June.
    • Handle: RePEc:pre:journl:v:14:y:2011:i:2:p:122-137
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    Cited by:

    1. Zulu, Thulani & Manguzvane, Mathias Mandla & Bonga-Bonga, Lumengo, 2023. "Assessing the contribution of South African Insurance Firms to Systemic Risk," MPRA Paper 116815, University Library of Munich, Germany.

    More about this item

    Keywords

    credit risk; loss and frequency distributions; credit crisis; Basel II;
    All these keywords.

    JEL classification:

    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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