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Year 2020, , 103 - 119, 30.06.2020

Masoud Ghazavi Sema Bayraktar Tur

https://doi.org/10.17261/Pressacademia.2020.1207

Abstract

References

  • Akbank Website. (n.d.). Retrieved from http://www.akbank.com/en-us/investor-relations/Pages/Financials.aspx
  • Başarır, C. (2016). A Macro Stress Test Model of Credit Risk for the Turkish Banking Sector. Asian Economic and Financial Review , 6 (12), 762-774.
  • Başarir, C., & Toraman, C. (2014). Financial Stability Analysis in Banking Sector: A Stress Test Method. Muhasebe ve Finansman Dergisi (62), 129-144.
  • Bangladesh Bank Department of Offsite Supervision. (2010). Guideline on Stress Testing. Bangladesh: Bangladesh Bank Department of Offsite Supervision.
  • Banking Regulation and Supervision Agency - BDDK. (n.d.). Retrieved from https://www.bddk.org.tr/WebSitesi/English.aspx
  • Basel Committee on Banking Supervision. (2017). Supervisory and bank stress testing: range of practices. Bank for international Settlement.
  • Cakmak, B. (2014). A Stress Testing Framework for The Turkish Banking Sector: An Augmented Approach. Middle East Technical University, The Graduate School of Social Sciences . Ankara: Middle East Technical University.
  • Committee of European Banking Supervisors. (2010). CEBS Guidelines on Stress Testing (GL32). Committee of European Banking Supervisors.
  • European Banking Authority . (2018). Guidelines On Institutions' Stress Testing. European Banking Authority .
  • Filosa, R. (2007). Stress testing of the stability of the Italian banking system: a VAR approach.
  • Fungáčová, Z., & Jakubík, P. (2012). Bank Stress Tests as an Information Device for Emerging Markets: The Case of Russia. Charles University, Institute of Economic Studies, Faculty of Social Sciences. Prague: Charles University .
  • Garanti Bank Website. (n.d.). Retrieved from https://www.garanti.com.tr/en/our_company/investor_relations.page
  • Halkbank Website. (n.d.). Retrieved from https://www.halkbank.com.tr/en/international-banking/83/financial-reports?AspxAutoDetectCookieSupport=1
  • Hoggarth, G., Sorensen, S., & Zicchino, L. (2005). Stress Tests of UK Banks Using a VAR Approach. Bank of England . London: Bank of England
  • İşbank Website. (n.d.). Retrieved from https://www.isbank.com.tr/EN/about-isbank/investor-relations/publications-and-results/financial-statements/Pages/financial-statements.aspx
  • ING Bank Website. (n.d.). Retrieved from https://www.ing.com/Investor-relations/Financial-performance/Annual-reports.htm
  • Kamenik, O., Tuma, Z., Vavra, D., & Smidova, Z. (2013). A simple Fiscal Stress Testing Model: Case Studies of Astrian, Czech and German Economies. OECD, ECONOMICS DEPARTMENT WORKING PAPERS No. 1074 . OECD.
  • Mohsin, M., & Kamal, M. (2012). Managing Stress Test for Banks: A Case Study on Ten Commercial Banks In Bangladesh. IOSR Journal of Business and Management (IOSRJBM) , 2 (5), 11-23.
  • Odea Bank Website. (n.d.). Retrieved from https://www.odeabank.com.tr/en-us/about-odeabank/reports/sayfalar/annual-reports.aspx
  • Office of Superintendent of Financial Institutions of Canada (OSFI). (2009). Guideline on Stress Testing. Office of Superintendent of Financial Institutions of Canada.
  • Onder, S., Damar, B., & Hekimoglu, A. A. (2015). Macro Stress Testing and an Application on Turkish Banking Sector. Procedia Economics and Finance , 38, 17-37.
  • Otani, A., Shiratsuka, S., Tsurui, R., & Yamada , T. (2009). Macro Stress-Testing on the Loan Portfolio of Japanese Banks. Bank of Japan (BoJ). Tokyo : Bank of Japan Working Paper Series.
  • PUBLIC DISCLOSURE PLATFORM. (N.D.). RETRIEVED FROM HTTPS://WWW.KAP.ORG.TR/EN/SEKTORLER
  • QNB Finansbank Website. (n.d.). Retrieved from https://www.qnbfinansbank.com/en/investor-relations/financial-information
  • State Bank of Pakistan . (2012). Guidelines on Stress Testing. Banking Surveillance Department. State Bank of Pakistan.
  • Şekerbank Website. (n.d.). Retrieved from http://www.sekerbank.com/en/investorrelations/statements
  • Türk Ekonomi Bank (TED) Website. (n.d.). Retrieved from https://www.teb.com.tr/about-teb/annual-reports/
  • The Banks Association of Turkey. (n.d.). Retrieved from https://www.tbb.org.tr/tr
  • Vakıfbank Website. (n.d.). Retrieved from https://www.vakifbank.com.tr/tas-bank-only.aspx?pageID=644
  • Virolainen, K. (2004). Macro stress testing with a macroeconomic credit risk model for Finland. Bank of Finland, Research Department. Bank of Finland.
  • Vukeli ́c, T. (2011). Stress Testing of the Banking Sector in Emerging Markets: A Case of the Selected Balkan Countries. Charles University, Faculty of Social Sciences, Institute of Economic Studies. Prague: Charles University.
  • Yapıkredi Bank Website. (n.d.). Retrieved from https://www.yapikredi.com.tr/en/investor-relations/financials#f1-tab2
  • Zeman, J., & Jurca, P. (2008). Macro Stress Testing of Slovak Banking Sector. Working Paper, National Bank of Slovakia.
  • Ziraat Bank Website. (n.d.). Retrieved from https://www.ziraatbank.com.tr/en/InvestorRelations/Financials/Pages/AuditReportAndFinancialStatements.aspx

VULNERABILITY ANALYSIS OF TURKISH BANKS USING STRESS TESTING AND INTERNAL CREDIT RATING APPROACH

Year 2020, , 103 - 119, 30.06.2020

Masoud Ghazavi Sema Bayraktar Tur

https://doi.org/10.17261/Pressacademia.2020.1207

Abstract

Purpose- This study examines the performance and financial vulnerability of twelve Turkish banks for 2019.
Methodology - Stress testing identifies the impact of extreme expected and unexpected shocks to a bank’s capital, provides an assessment of its financial strength to withstand shocks and helps to spot emerging risk(s) and uncover weak spots in the financial institution. It enables banks in identifying their vulnerabilities at an early stage. In addition to stress testing, as for Internal Credit Rating (ICR), some financial ratios have been selected to assess the performance of each bank within banking industry.
Findings- All banks in 2019 are within the standard classification of ICR rating except for Şekerbank. However, results show that not all banks are resilient to stress testing implemented in the study.
Conclusion- This study shows that Turkish banks are on the knife edge. The results show that the critical factor that may result in the insolvency of the banks is NPLs. Thus, Turkish regulators should take measures that would prevent banks to take any action that would increase their NPLs both in the short and long term.

Keywords

Performance analysis of banks internal credit rating (ICR) stress testing (ST) sensitivity analysis scenario analysis

References

  • Akbank Website. (n.d.). Retrieved from http://www.akbank.com/en-us/investor-relations/Pages/Financials.aspx
  • Başarır, C. (2016). A Macro Stress Test Model of Credit Risk for the Turkish Banking Sector. Asian Economic and Financial Review , 6 (12), 762-774.
  • Başarir, C., & Toraman, C. (2014). Financial Stability Analysis in Banking Sector: A Stress Test Method. Muhasebe ve Finansman Dergisi (62), 129-144.
  • Bangladesh Bank Department of Offsite Supervision. (2010). Guideline on Stress Testing. Bangladesh: Bangladesh Bank Department of Offsite Supervision.
  • Banking Regulation and Supervision Agency - BDDK. (n.d.). Retrieved from https://www.bddk.org.tr/WebSitesi/English.aspx
  • Basel Committee on Banking Supervision. (2017). Supervisory and bank stress testing: range of practices. Bank for international Settlement.
  • Cakmak, B. (2014). A Stress Testing Framework for The Turkish Banking Sector: An Augmented Approach. Middle East Technical University, The Graduate School of Social Sciences . Ankara: Middle East Technical University.
  • Committee of European Banking Supervisors. (2010). CEBS Guidelines on Stress Testing (GL32). Committee of European Banking Supervisors.
  • European Banking Authority . (2018). Guidelines On Institutions' Stress Testing. European Banking Authority .
  • Filosa, R. (2007). Stress testing of the stability of the Italian banking system: a VAR approach.
  • Fungáčová, Z., & Jakubík, P. (2012). Bank Stress Tests as an Information Device for Emerging Markets: The Case of Russia. Charles University, Institute of Economic Studies, Faculty of Social Sciences. Prague: Charles University .
  • Garanti Bank Website. (n.d.). Retrieved from https://www.garanti.com.tr/en/our_company/investor_relations.page
  • Halkbank Website. (n.d.). Retrieved from https://www.halkbank.com.tr/en/international-banking/83/financial-reports?AspxAutoDetectCookieSupport=1
  • Hoggarth, G., Sorensen, S., & Zicchino, L. (2005). Stress Tests of UK Banks Using a VAR Approach. Bank of England . London: Bank of England
  • İşbank Website. (n.d.). Retrieved from https://www.isbank.com.tr/EN/about-isbank/investor-relations/publications-and-results/financial-statements/Pages/financial-statements.aspx
  • ING Bank Website. (n.d.). Retrieved from https://www.ing.com/Investor-relations/Financial-performance/Annual-reports.htm
  • Kamenik, O., Tuma, Z., Vavra, D., & Smidova, Z. (2013). A simple Fiscal Stress Testing Model: Case Studies of Astrian, Czech and German Economies. OECD, ECONOMICS DEPARTMENT WORKING PAPERS No. 1074 . OECD.
  • Mohsin, M., & Kamal, M. (2012). Managing Stress Test for Banks: A Case Study on Ten Commercial Banks In Bangladesh. IOSR Journal of Business and Management (IOSRJBM) , 2 (5), 11-23.
  • Odea Bank Website. (n.d.). Retrieved from https://www.odeabank.com.tr/en-us/about-odeabank/reports/sayfalar/annual-reports.aspx
  • Office of Superintendent of Financial Institutions of Canada (OSFI). (2009). Guideline on Stress Testing. Office of Superintendent of Financial Institutions of Canada.
  • Onder, S., Damar, B., & Hekimoglu, A. A. (2015). Macro Stress Testing and an Application on Turkish Banking Sector. Procedia Economics and Finance , 38, 17-37.
  • Otani, A., Shiratsuka, S., Tsurui, R., & Yamada , T. (2009). Macro Stress-Testing on the Loan Portfolio of Japanese Banks. Bank of Japan (BoJ). Tokyo : Bank of Japan Working Paper Series.
  • PUBLIC DISCLOSURE PLATFORM. (N.D.). RETRIEVED FROM HTTPS://WWW.KAP.ORG.TR/EN/SEKTORLER
  • QNB Finansbank Website. (n.d.). Retrieved from https://www.qnbfinansbank.com/en/investor-relations/financial-information
  • State Bank of Pakistan . (2012). Guidelines on Stress Testing. Banking Surveillance Department. State Bank of Pakistan.
  • Şekerbank Website. (n.d.). Retrieved from http://www.sekerbank.com/en/investorrelations/statements
  • Türk Ekonomi Bank (TED) Website. (n.d.). Retrieved from https://www.teb.com.tr/about-teb/annual-reports/
  • The Banks Association of Turkey. (n.d.). Retrieved from https://www.tbb.org.tr/tr
  • Vakıfbank Website. (n.d.). Retrieved from https://www.vakifbank.com.tr/tas-bank-only.aspx?pageID=644
  • Virolainen, K. (2004). Macro stress testing with a macroeconomic credit risk model for Finland. Bank of Finland, Research Department. Bank of Finland.
  • Vukeli ́c, T. (2011). Stress Testing of the Banking Sector in Emerging Markets: A Case of the Selected Balkan Countries. Charles University, Faculty of Social Sciences, Institute of Economic Studies. Prague: Charles University.
  • Yapıkredi Bank Website. (n.d.). Retrieved from https://www.yapikredi.com.tr/en/investor-relations/financials#f1-tab2
  • Zeman, J., & Jurca, P. (2008). Macro Stress Testing of Slovak Banking Sector. Working Paper, National Bank of Slovakia.
  • Ziraat Bank Website. (n.d.). Retrieved from https://www.ziraatbank.com.tr/en/InvestorRelations/Financials/Pages/AuditReportAndFinancialStatements.aspx
There are 34 citations in total.

Details

Primary Language English
Subjects Finance, Business Administration
Journal Section Articles
Authors

Masoud Ghazavi This is me 0000-0002-3973-1076

Sema Bayraktar Tur This is me 0000-0002-7564-4148

Publication Date June 30, 2020
Published in Issue Year 2020

Cite

APA Ghazavi, M., & Tur, S. B. (2020). VULNERABILITY ANALYSIS OF TURKISH BANKS USING STRESS TESTING AND INTERNAL CREDIT RATING APPROACH. Journal of Economics Finance and Accounting, 7(2), 103-119. https://doi.org/10.17261/Pressacademia.2020.1207

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