BASEL III REGÜLASYONUNU TAMAMLAYICI BİR LİKİDİTE STRES TESTİ METODOLOJİSİ: TÜRKİYE UYGULAMASI

Öz

Basel III likidite regülasyonu, odaklandığı vade ufku sırasıyla 30 güne kadar (LCR: Likidite Karşılama Oranı) ve bir yıldan ötesi (NSFR: Net İstikrarlı Fonlama Oranı) olan iki yeni oran düzenlemiştir. Bu çalışma aradaki vade boşluğunu, yedi büyük Türk bankasının nakit akımı projeksiyonlarına bir yıl süreli likidite stress testi uygulayıp ülkeye özgü bir likidite krizine ne kadar dayanabileceklerini (1 ila 365 gün arasında) ölçerek doldurmaktadır. Aynı zamanda, bir likidite stres testi sonucunda hayatta kalma süresini banka bazında açıklayan ilk çalışmadır. Sonuçlar göstermektedir ki bankalar, test uygulanmadan önce LCR ve NSFR yükümlülüklerini karşılamalarına ragmen Türkiye Cumhuriyet Merkez Bankası’ndan destek sağladıkları durumlarda dahi Türkiye’ye özgü sekiz likidite stres testi senaryosunun hiçbirini (tek bir istisna hariç) geçememektedir. Bu nedenle regülatörler, çalışmada önerilen yöntemi 30 gün ila bir yıl arası orta vadeli likidite risklerini gözetmek üzere, global Basel III likidite regülasyonunu tamamlayıcı yerel bir enstrüman olarak kullanabilirler. Bununla birlikte merkez bankaları da bir likidite krizine yönelik varsayımsal reaksiyonlarını gözden geçirip bir acil durum fonlama planı hazırlamak üzere sonuçları kullanabilirler.

Anahtar Kelimeler

• bankacılık regülasyonu
• banka likiditesi
• stres testi
• Basel III

A LIQUIDITY STRESS-TESTING METHODOLOGY AS A COMPLEMENT TO THE BASEL III REGULATION: AN APPLICATION TO TURKEY

Abstract

Basel III liquidity regulation introduced two new metrics with a focus on time horizons up to 30 days (LCR: Liquidity Coverage Ratio) and beyond one year (NSFR: Net Stable Funding Ratio) respectively. This paper bridges the horizon gap by applying a yearlong liquidity stress test to the implied cash flow data of the seven biggest Turkish banks to gauge the extent (from 1 to 365 days) to which they can withstand a country-specific liquidity crisis. At the same time, this is the first study that has revealed the survival horizons of banks after a liquidity stress test at the institutional level. Results show that all banks fail each of the eight Turkey-specific liquidity stress scenarios (with a single exception) even under various Central Bank of the Republic of Turkey (CBRT) supports while complying with both LCR and NSFR ex-ante. As such, regulators would be better off employing the framework as a complementary local tool to the global Basel III liquidity regulation in order to account for medium-term liquidity risks between 30 days and one year. And therewithal, central banks could also use the results to draw up a contingency funding plan by reconsidering their hypothetical reactions to a liquidity crisis.

Keywords

• bank regulation
• bank liquidity
• stress testing
• Basel III

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