Bankalarda Likidite Stres Testi ve Türk Bankacılık Sektörü için Bir Uygulama Önerisi

2013-5-1
Delikanlı, İhsan Uğur
Kutlukaya, Mahmut
Uslu Kutlukaya, Esra
Show full item record
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
373
views
622
downloads
The importance of liquidity risk for financial institutions has been better conceived after the global financial crisis. Therefore, in this paper a liquidity stress testing framework is proposed that could enhance the disclosure of financial institutions. First of all, a literature review related to liquidity risk and liquidity stress testing is given. In the following section, the regulatory framework in Turkey and Basel standards for liquidity risk are covered and the need for a liquidity risk stress testing framework is explained. Moreover, the similarities between the liquidity framework that was established in Turkey before the global financial crisis and the internationally agreed framework following the crisis (Basel-Ill) are highlighted. In the fourth section, a liquidity stress testing framework that could be standardized for financial institutions in Turkey is provided together with results of the application of this approach to Turkish banking sector by using publicly available data. The use of the proposed approach for banks' internal stress testing framework is also elaborated in this study.
Liquidity, Stress Test, Banking
https://hdl.handle.net/11511/51961
İktisat İşletme ve Finans
Department of Economics, Article

Suggestions

Liquidity risk in banking sector : a ratio analysis applied to Turkish commercial banks
Ayaydın, Hande; Gaygısız Lajunen, Esma; Department of Economics (2004)
The financial crises and bank runs in the past decade increased attention to the financial systems. In Turkey as in Europe banks are main financial intermediaries and financial crises occur mostly due to realization of risks in banks. Although liquidity risk is embedded into daily operations of banks unless controlled it may take banks into insolvency and even bankruptcy. This thesis aims to examine liquidity risk structure of Turkish banking sector. As a sample the domestic commercial banks in Turkey is ch...
An empirical study on early warning systems for banking sector
Boyraz, Mustafa Fatih; Gaygısız Lajunen, Esma; Department of Economics (2012)
Early Warning Systems (EWSs) for banking sectors are used to measure occurrence risks of banking crises, generally observed with a rundown of bank deposits and widespread failures of financial institutions. In countries with a small number of banks, for example Turkey with 48 banks (BDDK, 2011), every bank may be considered to have a systematic importance since the failure of any individual bank may carry a potential threat to lead to a banking crisis. Taking into account this fact the present study focuses...
Modeling advanced fund transfer pricing with an application of hull-white interest-rate tree in Turkish banking sector
Shakirov, Begzod; Weber, Gerhard Wilhelm; Department of Financial Mathematics (2017)
The Financial Crisis in 2008 has revealed the need for a more advanced management of liquidity risk in financial institutions. This thesis aims to introduce and implement an advanced Fund Transfer Pricing (FTP) model into banking industries of the developing countries. The methodology of the FTP model, constructed in this research, measures the cost of a product’s cash-flows by splitting them into a deterministic and a stochastic component. The cost of the deterministic part is assessed as an equivalent of ...
An Investigation on the nature of the idiosyncratic risk of stock portfolios
Kocaarslan, Barış; Soytaş, Uğur; Department of Business Administration (2018)
In this study, based on sound economic theories, two economic transmission channels are identified to investigate the impacts of changes in funding liquidity conditions in interbank loan markets and the reserve currency (US dollar) value on the idiosyncratic portfolio-level risks. Controlling for business cycles, we find that a deterioration in funding liquidity conditions increases the idiosyncratic risk of high-risk portfolios more than that of less risky portfolios. This increase is stronger when the idi...
Staggered loan contract in a new keynesian framework
Alp, Harun; Voyvoda Temizsoy, Ebru; Department of Economics (2009)
This thesis aims to understand the role of interest rate setting behavior of the banks for the transmission of technology, monetary policy and loan rate shocks into the real economy. To this end, we introduce a monopolistically competitive banking sector into a New Keynesian model. Here, each bank can change its loan rate only infrequently in the fashion of Calvo type staggered contract. This setting implies that the adjustment of the aggregate loan rate is sticky, which is consistent with the empirical evi...
Citation Formats
İ. U. Delikanlı, M. Kutlukaya, and E. Uslu Kutlukaya, “Bankalarda Likidite Stres Testi ve Türk Bankacılık Sektörü için Bir Uygulama Önerisi,” İktisat İşletme ve Finans, pp. 41–66, 2013, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/51961.
METU IIS - Integrated Information Service open@metu.edu.tr