A MACRO STRESS TEST MODEL OF CREDIT RISK FOR THE TURKISH BANKING SECTOR
Journal Title: Asian Economic and Financial Review - Year 2016, Vol 6, Issue 12
Abstract
Banking sector occupy an important position in the financial system. Consequently, in order to maintain financial stability in a country, financial system and major banks of the sector have importance. At this point, financial stability of the banks and the sector may be discussed. Sensitivity of the sector against the shocks may be measured and evaluated properly. A stress test is a technique to measure the vulnerability of a bank or the aggregate banking sector against a set of hypothetic scenarios or events. This paper proposes a model to conduct macro stress test of credit risk for the banking sector based on scenario analysis. In this study firstly a macroeconomic credit risk model based on Wilson?s CreditPortfolioView for Turkish Banking Sector between the period 1999Q1-2012Q4 therefore 2013Q1-2014Q4 period is forecasted using historical simulation analysis. 3 historical scenarios are built for the macroeconomic credit risk model of banking sector. Then, responses of the sector?s default rates against the macro- shocks are detected. Responses of the default rates are compared with the historical date and financial soundness of the sector are analyzed.
Authors and Affiliations
Çağatay Başarır| Bandırma Onyedi Eylül University Ö.S. Faculty Of Application Science, Balikesir, Turkey
Keywords
Related Articles
- EP ID EP2319
- DOI -
- Views 513
- Downloads 40
INVOLVEMENT OF CORPORATE ENTITIES IN WAQAF MANAGEMENT: EXPERIENCES OF MALAYSIA AND SINGAPORE
The main focus of this paper is to examine the corporate management models of selected waqaf entities in Malaysia and Singapore. The waqaf entities involved in this study include two corporate waqaf institutions namely K...
POVERTY AND INCOME INEQUALITY IN NIGERIA: ANY CAUSALITY?
The issue of poverty has continued to pose serious threat to the continued cordial existence of an economy like Nigeria. Issues pertaining to poverty and inequality have also continued to receive wider attention among sc...
DO CORPORATE GOVERNANCE AND SOCIAL PERFORMANCE DIFFER BETWEEN FAMILY-OWNED AND NON-FAMILY-OWNED BUSINESSES IN TAIWAN-LISTED CSR COMPANIES?
The objective of this analysis into examines the social performance and corporate governance differences between family-owned firms and non-family-owned firms, along with the impact of corporate governance variables. The...
LOGISTIC COST MANAGEMENT IN ENTERPRISES: THE EXAMPLE OF KARAMAN, AKSARAY AND KAYSERİ PROVINCES
Logistics management is the customer, market and distributional channel based planning of logistic activities and determining the execution of these activities through outsourcing or within the enterprise and conducting...
IMPROVEMENT OF FIRM PERFORMANCE BY ACHIEVING COMPETITIVE ADVANTAGES THROUGH VERTICAL INTEGRATION IN THE APPAREL INDUSTRY OF BANGLADESH
In the manufacturing step of the global apparel value chain (GAVC) the firms face fierce competition due to availability of low cost labor and hence the opportunity to make higher profit is a tough job. According to Gere...