Credit Risk Market and the Recent Loan Profile in the Turkish Banking Sector

Very little research has been done on the financial stability implications of credit risk transfer markets. In particular there is a paucity of work considering the interactions between the various credit risk transfer markets or instruments. Regarding credit derivatives, the small number of existing studies can be explained by a lack of quantitative data and by the brief history of the market" (Kiff et al., 2002, page 2). This paper tries to explain the development of credit risk transfer instruments and how they can contribute to financial stability in an emerging economy. In order to do that, it reviews the history and the recent developments in Turkish banking system and describes the credit risk environment through using quantitative data. The credit risk environment of Turkey discussed in the paper suggests that a well functioning credit derivatives market will lay the foundation for a diversified financial system that will underpin healthy recovery. © EuroJournals Publishing, Inc. 2009.
International Research Journal of Finance and Economics Issue


Credit scoring methods and accuray ratio
İşcanoğlu, Ayşegül; Körezlioğlu, Hayri; Department of Financial Mathematics (2005)
The credit scoring with the help of classification techniques provides to take easy and quick decisions in lending. However, no definite consensus has been reached with regard to the best method for credit scoring and in what conditions the methods performs best. Although a huge range of classification techniques has been used in this area, the logistic regression has been seen an important tool and used very widely in studies. This study aims to examine accuracy and bias properties in parameter estimation ...
On the single name CDS price under structural modeling
GOKGOZ, I. H.; Uğur, Ömür; Okur, Y. Yolcu (2014-03-15)
Regulators, banks and other market participants realized that true assessment of the credit risk is more critical and complex than their ex-ante appraisals after the US Credit Crunch. They have turned their attention to complex credit risk models and credit instruments such as credit derivatives. Credit default swap contracts (CDSs) are the most common credit derivatives used for speculation and hedging purposes in the credit markets. Thus, in this paper we fundamentally study the pricing of a single name C...
Efficient simulation and modelling of counterparty credit risk
Hekimoğlu, Alper Ali; Uğur, Ömür; Kestel, Sevtap Ayşe; Department of Financial Mathematics (2018)
After 2008-2009 crisis, measurement of Counterparty Credit risk has become an essential part of Basel-III regulations. The measurement involves a complex calculation, simulation and scenario generation process which involve a heavy computational cost. Moreover, the counterparty default calculation is an important part depending on scenario generation and state of the economy, state of the counterparty, liquidity as well as the bank itself. In this thesis we develop flexible structural credit risk models and...
Data quality assessment in credit risk management by customized total data quality management approach
Güneş, Muhammed İlyas; Çetin, Yasemin; Bilgen, Semih; Department of Information Systems (2016)
As the size and complexity of financial institutions, more specifically banks, grow, the amount of data that information systems (IS) of such institutions need to handle also increases. This leads to the emergence of a variety of data quality (DQ) problems. Due to the possible economic losses due to such DQ issues, banks need to assure quality of their data via data quality assessment (DQA) techniques. As DQ related problems diversify and get complicated, the requirement for contemporary data quality assess...
Pricing and hedging of constant proportion debt obligations
İşcanoğlu Çekiç, Ayşegül; Uğur, Ömür; Korn, Ralf; Department of Financial Mathematics (2011)
A Constant Proportion Debt Obligation is a credit derivative which has been introduced to generate a surplus return over a riskless market return. The surplus payments should be obtained by synthetically investing in a risky asset (such as a credit index) and using a linear leverage strategy which is capped for bounding the risk. In this thesis, we investigate two approaches for investigation of constant proportion debt obligations. First, we search for an optimal leverage strategy which minimises the mean-...
Citation Formats
Ö. Özdemir, “Credit Risk Market and the Recent Loan Profile in the Turkish Banking Sector,” International Research Journal of Finance and Economics Issue, pp. 196–211, 2009, Accessed: 00, 2021. [Online]. Available: