Tunçay, Abdullah Mert
There are various risks associated with fund transfers between banks, including frauds and abuse of the banking system. Any anomaly in a fund transfer network must be detected and learned, since unexpected messages or transfer events may occur. The purpose of this thesis is to detect anomalies in a fund transfer network using fund transfer packets. In such a network, different fund transfer protocols use different message types. Moreover, these messages have several different features, such as dates, participants, amounts, time intervals, etc. We utilize various statistical, machine learning and deep learning-based anomaly detection methods such as isolation forests, local outlier factors, k-nearest-neighbour and LSTM Autoencoders to detect anomalies in fund transfers. For this purpose, we collect a set of real-world fund transfer messages and utilize this set in our experiments. It is evident from our results that feature group selection has a significant impact on the accuracy of anomaly detection.


Statistical methods in credit rating
Sezgin, Özge; Yıldırak, Şahap Kasırga; Department of Financial Mathematics (2006)
Credit risk is one of the major risks banks and financial institutions are faced with. With the New Basel Capital Accord, banks and financial institutions have the opportunity to improve their risk management process by using Internal Rating Based (IRB) approach. In this thesis, we focused on the internal credit rating process. First, a short overview of credit scoring techniques and validation techniques was given. By using real data set obtained from a Turkish bank about manufacturing firms, default predi...
Deniz, Burak; Akbostancı Özkazanç, Elif; Department of Economics (2022-6-09)
As one of the most important elements of the financial system, bank loans significantly affect both the real economy and financial markets. As a result, it is crucial to analyze the determinants as well as the dynamics of bank loans through time. In this study, the determinants of total loans, corporate loans, and consumer loans in the banking sector of Turkey are examined for the period 2005Q1-2019Q4 via an Autoregressive Distributive Lag Model (ARDL). The volume of domestic currency deposits and foreign c...
Probability of default modelling using macroeconomic factors.
Tokmak, Bahri; Özmen, Erdal; Department of Economics (2020)
As a consequence from the recent global financial crisis, regulatory frameworks are continuously improved in order to limit the banks’ risk exposure. Two of the amendments are Basel III and IFRS 9. Basel III regulates the capital a bank is required to hold while IFRS 9 is an accounting standard for how banks should classify their assets and estimate their future credit losses. Mutually for both Basel III and IFRS 9 is the estimation of future credit losses which include the probability of default in the cal...
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...
The Impact of credit rating changes on the government cost of borrowing in Turkey
Gürer, Murat; Derin Güre, Pınar; Department of Economics (2014)
Standard and Poor’s (S&P), Moody’s and Fitch have been producing credit ratings for government bonds and corporate bonds. Changes in credit ratings affect the investors’ decisions and government cost of borrowing as well. 2008 global financial crisis is an important milestone for the credit rating agencies since during the crisis period high rated countries faced with deep economic fluctuations which decreased the creditworthiness of these agencies. This thesis investigates the relationship between sovereig...
Citation Formats
A. M. Tunçay, “DETECTION OF ANOMALOUS FUND TRANSFERS BETWEEN DIFFERENT BANKS,” M.S. - Master of Science, Middle East Technical University, 2022.