Research Article

VULNERABILITY ANALYSIS OF TURKISH BANKS USING STRESS TESTING AND INTERNAL CREDIT RATING APPROACH

Volume: 7 Number: 2 June 30, 2020
  • Masoud Ghazavi *
  • Sema Bayraktar Tur
Journal of Economics Finance and Accounting Cover
Journal of Economics Finance and Accounting
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VULNERABILITY ANALYSIS OF TURKISH BANKS USING STRESS TESTING AND INTERNAL CREDIT RATING APPROACH

Abstract

Purpose- This study examines the performance and financial vulnerability of twelve Turkish banks for 2019. Methodology - Stress testing identifies the impact of extreme expected and unexpected shocks to a bank’s capital, provides an assessment of its financial strength to withstand shocks and helps to spot emerging risk(s) and uncover weak spots in the financial institution. It enables banks in identifying their vulnerabilities at an early stage. In addition to stress testing, as for Internal Credit Rating (ICR), some financial ratios have been selected to assess the performance of each bank within banking industry. Findings- All banks in 2019 are within the standard classification of ICR rating except for Şekerbank. However, results show that not all banks are resilient to stress testing implemented in the study. Conclusion- This study shows that Turkish banks are on the knife edge. The results show that the critical factor that may result in the insolvency of the banks is NPLs. Thus, Turkish regulators should take measures that would prevent banks to take any action that would increase their NPLs both in the short and long term.

Keywords

References

  1. Akbank Website. (n.d.). Retrieved from http://www.akbank.com/en-us/investor-relations/Pages/Financials.aspx
  2. Başarır, C. (2016). A Macro Stress Test Model of Credit Risk for the Turkish Banking Sector. Asian Economic and Financial Review , 6 (12), 762-774.
  3. Başarir, C., & Toraman, C. (2014). Financial Stability Analysis in Banking Sector: A Stress Test Method. Muhasebe ve Finansman Dergisi (62), 129-144.
  4. Bangladesh Bank Department of Offsite Supervision. (2010). Guideline on Stress Testing. Bangladesh: Bangladesh Bank Department of Offsite Supervision.
  5. Banking Regulation and Supervision Agency - BDDK. (n.d.). Retrieved from https://www.bddk.org.tr/WebSitesi/English.aspx
  6. Basel Committee on Banking Supervision. (2017). Supervisory and bank stress testing: range of practices. Bank for international Settlement.
  7. Cakmak, B. (2014). A Stress Testing Framework for The Turkish Banking Sector: An Augmented Approach. Middle East Technical University, The Graduate School of Social Sciences . Ankara: Middle East Technical University.
  8. Committee of European Banking Supervisors. (2010). CEBS Guidelines on Stress Testing (GL32). Committee of European Banking Supervisors.

Details

Primary Language

English

Subjects

Finance, Business Administration

Journal Section

Research Article

Authors

Sema Bayraktar Tur This is me
0000-0002-7564-4148
Andorra

Publication Date

June 30, 2020

Submission Date

April 2, 2020

Acceptance Date

June 15, 2020

Published in Issue

Year 2020 Volume: 7 Number: 2

DOI

https://doi.org/10.17261/Pressacademia.2020.1207

IZ

https://izlik.org/JA52BM48TZ

Cite

RIS / Bibtex
APA
Ghazavi, M., & Tur, S. B. (2020). VULNERABILITY ANALYSIS OF TURKISH BANKS USING STRESS TESTING AND INTERNAL CREDIT RATING APPROACH. Journal of Economics Finance and Accounting, 7(2), 103-119. https://doi.org/10.17261/Pressacademia.2020.1207
AMA
1.Ghazavi M, Tur SB. VULNERABILITY ANALYSIS OF TURKISH BANKS USING STRESS TESTING AND INTERNAL CREDIT RATING APPROACH. JEFA. 2020;7(2):103-119. doi:10.17261/Pressacademia.2020.1207
Chicago
Ghazavi, Masoud, and Sema Bayraktar Tur. 2020. “VULNERABILITY ANALYSIS OF TURKISH BANKS USING STRESS TESTING AND INTERNAL CREDIT RATING APPROACH”. Journal of Economics Finance and Accounting 7 (2): 103-19. https://doi.org/10.17261/Pressacademia.2020.1207.
EndNote
Ghazavi M, Tur SB (June 1, 2020) VULNERABILITY ANALYSIS OF TURKISH BANKS USING STRESS TESTING AND INTERNAL CREDIT RATING APPROACH. Journal of Economics Finance and Accounting 7 2 103–119.
IEEE
[1]M. Ghazavi and S. B. Tur, “VULNERABILITY ANALYSIS OF TURKISH BANKS USING STRESS TESTING AND INTERNAL CREDIT RATING APPROACH”, JEFA, vol. 7, no. 2, pp. 103–119, June 2020, doi: 10.17261/Pressacademia.2020.1207.
ISNAD
Ghazavi, Masoud - Tur, Sema Bayraktar. “VULNERABILITY ANALYSIS OF TURKISH BANKS USING STRESS TESTING AND INTERNAL CREDIT RATING APPROACH”. Journal of Economics Finance and Accounting 7/2 (June 1, 2020): 103-119. https://doi.org/10.17261/Pressacademia.2020.1207.
JAMA
1.Ghazavi M, Tur SB. VULNERABILITY ANALYSIS OF TURKISH BANKS USING STRESS TESTING AND INTERNAL CREDIT RATING APPROACH. JEFA. 2020;7:103–119.
MLA
Ghazavi, Masoud, and Sema Bayraktar Tur. “VULNERABILITY ANALYSIS OF TURKISH BANKS USING STRESS TESTING AND INTERNAL CREDIT RATING APPROACH”. Journal of Economics Finance and Accounting, vol. 7, no. 2, June 2020, pp. 103-19, doi:10.17261/Pressacademia.2020.1207.
Vancouver
1.Masoud Ghazavi, Sema Bayraktar Tur. VULNERABILITY ANALYSIS OF TURKISH BANKS USING STRESS TESTING AND INTERNAL CREDIT RATING APPROACH. JEFA. 2020 Jun. 1;7(2):103-19. doi:10.17261/Pressacademia.2020.1207

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