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Credit Risk Macro Stress Test Model for Turkish Banking Industry

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  • Ebru SONBUL ISKENDER
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    Abstract

    The aim of this study is to conduct macro stress test of credit risk for the Turkish Banking Industry based on scenario analysis. In this study vector auto regression model is used to determine the interrelations between the macroeconomic variables and develop consistent scenarios spread to two years. Also in this study using time series econometrics two microeconomic models are developed to estimate total loans and non performing loan ratio of the industry and finally the effects of the scenarios on the credit losses and capital adequacy ratios are determined. Accordingly the study reveals that industry’s resilience is high against various shocks.

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    File URL: http://www.bddk.org.tr/WebSitesi/turkce/Raporlar/BDDK_Dergi/11168makale1.pdf
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    Bibliographic Info

    Article provided by Banking Regulation and Supervision Agency in its journal Journal of Banking and Financial Markets.

    Volume (Year): 6 (2012)
    Issue (Month): 1 ()
    Pages: 9-44

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    Handle: RePEc:bdd:journl:v:6:y:2012:i:1:p:9-44

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    Web page: http://www.bddk.org.tr/WebSitesi/turkce/Raporlar/BDDK_Dergi/BDDK_Dergi.aspx
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    Related research

    Keywords: Stress Testing; Credit Risk; Macro Model; Scenario Analysis; Capital. Adequacy Ratio;

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