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    The effect of stressed economic conditions on systemic risk within the South African banking sector

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    Date
    2011
    Author
    Esterhuysen, Janel
    Styger, Paul
    Van Vuuren, Gary Wayne
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    Abstract
    The 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.
    URI
    http://hdl.handle.net/10394/7922
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    • Faculty of Economic and Management Sciences [1420]

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