Türk bankacılık sistemi kredi riski için bir makroekonomik stres testi modeli uygulaması

Bu çalışmanın amacı Türk Bankacılık Sektörü kredi riskinin, senaryo analizine dayalı olarak makroekonomik stres testine tabi tutulmasıdır. Makroekonomik değişkenlerin kendi arasındaki ilişkileri belirleyerek, iki yıla yaygın birbiriyle tutarlı senaryolar oluşturmak için vektör oto regresyon modeli kullanılmıştır. Ayrıca bu çalışmada zaman serisi ekonometrisi kullanılarak kredilerin ve sektörün takibe dönüşüm oranının tahmin edildiği iki adet mikro ekonomik model oluşturulmuş ve nihayetinde belirlenen senaryoların sektör kredi kayıpları ile sermaye yeterliliği standart oranı üzerindeki etkisi belirlenmiştir. Buna göre bankacılık sektörünün muhtelif şoklara karşı dayanıklılığının yüksek olduğu belirlemiştir.

Credit risk macro stress test model fot Turkish banking indutry

The aim of this study is to conduct macro stress test of credit risk for the Turkish Banking Industry based on scenario analysis. In this study vector auto regression model is used to determine the interrelations between the macroeconomic variables and develop consistent scenarios spread to two years. Also in this study using time series econometrics two microeconomic models are developed to estimate total loans and non performing loan ratio of the industry and finally the effects of the scenarios on the credit losses and capital adequacy ratios are determined. Accordingly the study reveals that industry's resilience is high against various shocks.

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