BANKACILIK SEKTÖRÜNDE KULLANILAN TÜREV ARAÇLARIN ALTMAN Z- SKORUNA ETKİSİ

Sibel Çakır; Nermin Çıtak

doi:10.31460/mbdd.1486960

Research Article

THE EFFECT OF DERIVATIVE INSTRUMENTS USED IN BANKING SECTOR ON ALTMAN Z-SCORE

Year 2024, Volume: 26 Issue: 4, 254 - 273, 31.12.2024

Sibel Çakır , Nermin Çıtak

https://doi.org/10.31460/mbdd.1486960

Abstract

Failure of banks to manage risks properly or to take timely measures against risks may lead to financial failures. From this context, the use of derivative instruments designed for hedging purposes is crucial for banks. This study examines whether the use of derivatives contributes to the financial stability of banks by measuring the effect of derivatives on the Z-Score, a risk indicator. The analysis conducted using the Generalized Method of Moments for 37 banks in our banking system over 2010-2022 reveals that the volume of derivatives has a significant negative impact on the Z-Score.

Keywords

Altman Z-Score, Derivatives, Bank

References

Aksoy, A., & Tanrıöven, C. (2007). Sermaye piyasası yatırım araçları ve analizi (3. Baskı). Ankara: Gazi Kitabevi.
Aksoy, E. E., & Kandil Göker, İ. E. (2018). Bankacılık sektöründe finansal risklerin Z-Skor ve Bankometer metodları ile tespiti. BİST’te işlem gören ticari bankalar üzerine bir araştırma. Muhasebe Bilim Dünyası Dergisi, 20(2), 418-438. https://doi.org/10.31460/mbdd.377424
Altman, E. I. (1968). Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. The Journal of Finance, 23(4), 589-609. https://doi.org/10.2307/2978933
Altman, E. I. (1983). Corporate financial distress: a complete guide to predicting, avoiding, and dealing with bankruptcy (2nd ed.). John Willey & Sons Inc.
Altman, E., I., Iwanicz-Drozdowska, M., Laitinen, E. K., & Suvas, A. (2014). Distressed firm and bankruptcy prediction in an international context: A review and empirical analysis of Altman’s Z- Score Model. SSRN Paper, 1-47. http://dx.doi.org/10.2139/ssrn.2536340
Altman, E. I., & Hotchkiss, E. (2005). Corporate financial distress and bankruptcy: Ppredict and avoid bankruptcy, analyze and invest in distressed debt (3nd ed.). John Wiley & Sons, Inc.
Arellano, M., & Bond, S. (1991). Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. The Review of Economic Studies, 58(2), 277-297.
Bank for International Settlements (BIS). (2023). OTC derivatives statistics. https://www.bis.org/statistics/derstats.htm
Bankacılık Düzenleme ve Denetleme Kurumu (BDDK). Erişim Tarihi: 06.02.2024. https://www.bddk.org.tr/Kurulus/Liste/77
Bloomberg HT. (2024). EBRD: Türk bankacılık sektörü güçlü sermaye yapısını koruyor. Bloomberg HT. Erişim Tarihi: 06.02.2024. https://www.bloomberght.com/ebrd-turk-bankacilik-sektoru-guclu- sermaye-yapisini-koruyor-2361251
Borsa İstanbul (BİST), (2023). Borsa İstanbul Vadeli İşlem ve Opsiyon Piyasası (VİOP) 2022 yılı faaliyet raporu. Borsa İstanbul Yayınları.
Chicago Mercantile Exchange (CME). (2023, Mart 13). Daily volume report 2022. https://www.cmegroup.com
European Securities and Markets Authority (ESMA). (2023, Aralık 6). ESMA market report on EU Derivatives Markets 2023. ESMA Market Report, ESMA50-54821-2930.
Gil, R., Ignacio, L., González, L. O., Agra, S. C., & Santomil, P. D. (2015). The effect of credit derivatives usage on the risk of European Banks. Revista de Economía Mundial, 40, 197-219. https://doi.org/10.33776/rem.v0i40.3999
Gujarati, D. N. (2004). Basic Econometrics (4th. ed.). The McGraw-Hill Companies, Inc.
Gül, Z., & Reis, Ş. G. (2021). Finansal türevler ve banka riski: D-8 ülkelerinden kanıtlar. Akademik Araştırmalar ve Çalışmalar Dergisi (AKAD), 13(25), 551-561. https://doi.org/10.20990/kilisiibfakademik.985464
IMF, (2009). BPM6 - Balance of payments and ınternational ınvestment position manual (6nd ed.). Erişim Tarihi: 15.02.2023, https://www.imf.org/en/Home
Keffala M.R. (2015). A comparative study of the influence of derivatives on bank stability in emerging and recently developed countries: Evidence from the last financial crisis. Arabian J Bus Manag Review, 6, 180. https://doi.org/10.4172/2223-5833.1000180
Khan, C., Abbas, Z., Farooq, I., & Mateen, R. A. (2021). The impact of financial derivatives on stability of financial ınstitutions; empirical evidence from financial sector of Pakistan. RADS Journal of Business Management, 3(2), 115-124. https://jbm.juw.edu.pk/index.php/jbm/article/view/66
Li, S., & Marinč, M. (2014). The use of financial derivatives and risks of U.S. bank holding companies. International Review of Financial Analysis, 35, 46-71. https://doi.org/10.1016/j.irfa.2014.07.007
Ross, S. A., Westerfield, R. W., Jaffe, J., & Jordan, B. D. (2021). Corporate finance (13nd ed.). Irwin, McGraw-Hill.
Türkiye Bankalar Birliği (TBB). (2023). Bankalarımız. (Yayın No:351). Türkiye Bankalar Birliği. https://www.tbb.org.tr/Content/Upload/istatistikiraporlar/ekler/4326/Bankalarimiz_2023.pdf
Wooldridge, J. M. (2010). Econometric analysis of cross-section and panel data (2nd ed.). Cambridge, MA: MIT Press.
Yılmaz, E., & Aslan, T. (2016). Finansal risklerin yönetilmesinde türev ürünlerin kullanımı: Borsa İstanbul (BİST) 100 Endeksi’ndeki şirketler üzerine bir araştırma. İşletme Araştırma Dergisi, 8(1), 663-678. https://isarder.org/index.php/isarder/article/view/310
Zhang, S. (2019). An empirical study of the relationship between risk management capabilities and the use of financial derivatives: UK case studies. (Doctoral thesis, Edinburgh Napier University). Edinburgh Napier University. https://doi.org/10.17869/enu.2020.2704237