Asset and Liability Management: Analysis on the Dependence of Assets and Liabilities in Turkish Banking Sector
Journal Title: Journal of Economics and Financial Analysis - Year 2017, Vol 1, Issue 2
Abstract
Asset liability management (ALM) is the traditional risk management practice in banking. ALM is the coordinated and integrated management of assets and liabilities. Some studies argue that ALM lost importance due to the use of new risk mitigation tools by banks. This study aims to identify the role of ALM in the risk management of banks in Turkey. For this purpose, it analyzes the relationship between assets and liabilities of the banks by using canonical correlation for the period of 2002-2012. High canonical correlation indicates that dependency of assets and liabilities has been high for banks operating in Turkey. Canonical loadings also provide evidence for the coordinated asset and liability management. Thus, ALM is still very common in Turkish banking sector. Further analysis on liquidity of banks reveal that profitability, equity capital, illiquid assets and credit risk influence the liquidity. Besides, liquidity of public banks is higher than that of other banks.
Authors and Affiliations
Mustafa Duman, Ahmet Akin
Keywords
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