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Credit Risk Macro Stress Test Model for Turkish Banking Industry

Author

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  • Ebru SONBUL ISKENDER

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.

Suggested Citation

  • Ebru SONBUL ISKENDER, 2012. "Credit Risk Macro Stress Test Model for Turkish Banking Industry," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 6(1), pages 9-44.
  • Handle: RePEc:bdd:journl:v:6:y:2012:i:1:p:9-44
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    File URL: http://www.bddk.org.tr/WebSitesi/turkce/Raporlar/BDDK_Dergi/11168makale1.pdf
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    More about this item

    Keywords

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

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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