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dc.contributor.authorEsterhuysen, Janel
dc.contributor.authorStyger, Paul
dc.contributor.authorVan Vuuren, Gary Wayne
dc.date.accessioned2013-01-21T06:56:52Z
dc.date.available2013-01-21T06:56:52Z
dc.date.issued2011
dc.identifier.citationEsterhuysen, J. et al. 2011. The effect of stressed economic conditions on systemic risk within the South African banking sector. South African journal of economics, 79(3):270-289. [http://onlinelibrary.wiley.com/journal/10.1111/%28ISSN%291813-6982/]en_US
dc.identifier.issn0038-2280
dc.identifier.issn1813-6982 (Online)
dc.identifier.urihttp://hdl.handle.net/10394/7922
dc.description.abstractThe credit crisis resulted in increases in credit, market and operational risk, but it may also have precipitated a surge in systemic risk. Measuring systemic risk as the price of insurance against distressed losses in the South African banking sector, this article attempts to determine whether the financial crisis has in fact resulted in an increase in systemic risk. Using probabilities of default and asset return correlations as systemic risk indicators, it is found that the financial crisis has indeed increased systemic risk in South Africa. The impact was, however, less severe than that experienced in other large international banks.en_US
dc.description.urihttp://dx.doi.org/10.1111/j.1813-6982.2011.01276.x
dc.language.isoenen_US
dc.publisherWiley-Blackwellen_US
dc.subjectPortfolio credit risken_US
dc.subjectsystemic risken_US
dc.subjectcredit crisisen_US
dc.subjectsystemic risk indicatoren_US
dc.titleThe effect of stressed economic conditions on systemic risk within the South African banking sectoren_US
dc.typeArticleen_US
dc.contributor.researchID10061231 - Styger, Paul
dc.contributor.researchID12001333 - Van Vuuren, Gary Wayne


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