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

Ja’nel Esterhuysen () and Gary van Vuuren and Paul Styger
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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

South African Journal of Economic and Management Sciences, 2011, vol. 14, issue 2, 122-137

Keywords: credit risk; loss and frequency distributions; credit crisis; Basel II (search for similar items in EconPapers)
JEL-codes: C46 G21 (search for similar items in EconPapers)
Date: 2011
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