BANKALARIN PİYASA RİSKİNE DUYARLILIK RASYOLARI ÇERÇEVESİNDE GRUPLANDIRILMASI

Öz

Bir ülkede faaliyet gösteren yabancı sermayeli bankaların finansal sistem ve bankacılık faaliyetlerine olumlu ve olumsuz yönleri bulunmaktadır. Olumsuzluklardan biri, yabancı sermayeli bankaların belirli risklere ve krizlere karşı hazırlıklı olmaması ve ülkedeki sosyal ve siyasi sorunlarla karşılaştığında ülkeden ayrılmaya eğilim göstermesidir. Bu çalışmanın amacı, yabancı bankaların piyasa riskine duyarlılığını analiz etmek ve küreselleşmenin etkilerine rağmen yabancı bankaların bu tutumlarının değişip değişmediğini test etmektir. Belirlenen bu amaç doğrultusunda, Türkiye'de faaliyet gösteren kamu, özel ve yabancı sermayeli mevduat bankalarının piyasa riskine duyarlılık oranları açısından birbirlerinden farklı olup olmadığı kümeleme analizi ile araştırılmaktadır. Pandemi krizini de kapsayan 2018-2020 dönemine ilişkin analiz sonuçları, yabancı sermayeli bankaların diğer mevduat bankalarından önemli ölçüde farklılaşmadığını vurgulamıştır. Aksine, diğer bankalarla benzerlikler bulunmaktadır. Bu durum, bankacılık sektörünün küreselleşme olgusuna uyum sağladığını ve piyasa risklerine duyarlılık açısından yerel bankalardan çok farklı performans göstermediğini göstermektedir.

Anahtar Kelimeler

• Banka oranları
• Mevduat bankaları
• Piyasa riski
• Piyasa riskine duyarlılık
• Kümeleme analizi

DETERMINATION of the BANK CLUSTERS WITHIN the SCOPE of the SENSITIVITY to MARKET RISK RATIOS

Abstract

Foreign capital banks operating in a country have positive and negative aspects to the country's financial system and banking activities. One of the negativities is that banks with foreign capital are not prepared for certain risks and crises; and they tend to leave the country in the face of social and political problems in the country. The aim of this study is to analyze the sensitivity of foreign banks to market risk and to test whether these attitudes of foreign banks have changed despite the impositions of globalization. In line with this determined purpose, it is investigated by cluster analysis whether public, private and foreign capital deposit banks operating in Turkey differ from each other in terms of market risk sensitivity ratios. In other words, their risk groups are investigated by cluster analysis. Results of the analysis, for the period 2018-2020 which includes the pandemic crisis have emphasized that the banks with foreign capital did not differ significantly from other deposit banks. On the contrary, there exist similarities with other banks. This shows that the banking sector has adapted to the globalization phenomenon and does not perform much differently than local banks in terms of sensitivity to market risks.

Keywords

• Bank ratios
• Deposit banks
• Market risk
• Sensitivity to market risk
• Cluster analysis

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