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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

BANKACILIK SEKTÖRÜNDE KULLANILAN TÜREV ARAÇLARIN ALTMAN Z- SKORUNA ETKİSİ

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

Sibel Çakır , Nermin Çıtak

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

Abstract

Bankaların riskleri doğru yönetememeleri veya risklere zamanında önlem alamamaları, finansal başarısızlıklara neden olabilmektedir. Bu bağlamda, riskten korunma amacıyla tasarlanmış türev araçların kullanımı, bankalar için önem arz etmektedir. Bu çalışmada türev araç kullanımının, bir risk göstergesi olan Z-Skoruna etkisi ölçülerek bankaların finansal istikrarına katkı sunup sunmadığı incelenmektedir. Bankacılık sistemimizde yer alan 37 bankaya ilişkin 2010-2022 dönemi için Genelleştirilmiş Momentler Modeli ile yapılan analizler, toplam finansal türev araç hacminin Z-Skorunu anlamlı bir şekilde negatif yönde etkilediğini ortaya koymaktadır.

Keywords

Altman Z-Skor Türev araçlar Banka

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
There are 25 citations in total.

Details

Primary Language Turkish
Subjects Financial Accounting
Journal Section MAIN SECTION
Authors

Sibel Çakır 0000-0002-7018-0735

Nermin Çıtak 0000-0002-5293-6797

Early Pub Date December 29, 2024
Publication Date December 31, 2024
Submission Date May 30, 2024
Acceptance Date December 26, 2024
Published in Issue Year 2024 Volume: 26 Issue: 4

Cite

APA Çakır, S., & Çıtak, N. (2024). BANKACILIK SEKTÖRÜNDE KULLANILAN TÜREV ARAÇLARIN ALTMAN Z- SKORUNA ETKİSİ. Muhasebe Bilim Dünyası Dergisi, 26(4), 254-273. https://doi.org/10.31460/mbdd.1486960
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