TÜRKİYE’DE BÜYÜK ÖLÇEKLİ BANKALAR AÇISINDAN MÜNFERİT VE SİSTEMİK RİSKLERİN ANALİZİ

Year 2015, Volume: 7 Issue: 13, 377 - 408, 13.11.2015

K. Tunay

https://doi.org/10.14784/jfrs.51026

Abstract

Öz
Bu çalışma Türkiye’de faaliyet gösteren büyük ölçekli ticari bankaların münferit ve sistemik risklerini analiz
etmeyi amaçlamaktadır. 2003-2013 dönemini kapsayan yıllık verilerle doğrusal panel veri analizleri yapılmıştır.
Ulaşılan bulgular, sermaye yeterliliği, kaldıraç oranı ve büyüklük gibi değişkenlerin münferit riski açıkladıklarını
göstermektedir. Sistemik risk ise, mevduat ve kredilerin toplam aktiflere oranından, faiz dışı gelirlerden,
bankaların örgüt yapısından etkilenmektedir. Ayrıca büyüklükle ilişkilendirilen sermaye yeterliliği ve faiz dışı
gelirlerin de sistemik risk üzerinde etkili oldukları gözlemlenmiştir. Genel olarak sistemde faaliyet gösteren büyük
bankaların münferit risk unsurları ile sistemik risk unsurlarının bazıları ortaktır.
Anahtar Kelimeler: Büyük ölçekli bankalar, Münferit risk, Sistemik risk, Panel veri
Jel Kodları: C23, G01, G21

Keywords

Büyük ölçekli bankalar, Münferit risk, Sistemik risk, Panel veri

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