ICAAP ÇERÇEVESİNDE STRES TESTİ UYGULAMASI VAKA ÇALIŞMASI: TÜRK EXIMBANK

Basel düzenlemeleri ile bankaların finansal sağlamlığı piyasadaki Sermaye Yeterliliği değerlerine göre ölçülmeye başlandı. Özellikle 90'lı yılların sonu ve 2000'li yılların ilk on yılı, küreselleşme ve bol miktarda likiditeden sonra ciddi mali krizlere tanık oldu. Potansiyel riskleri önceden belirlemek ve önlem almak için en yaygın araçlardan biri, stres testleridir. Basel ilkeleri, bankalar için stres testi uygulamalarını içermekle birlikte geliştirilmesi gereken önemli eksikliklere sahiptir. Bu çalışmanın amacı, Basel kurallarının Türk Bankacılık Sektörü üzerinden bu ilkelerden sorumlu tüm ülkelere adil muamele bağlamında yetersiz kaldığına işaret etmektir. Makalede Türk bankacılık sistemi, sermaye yeterlilik oranını etkileyen faktörler üzerinden bir ekonometrik analize tabi tutulmuş ve elde edilen bulgular kurun sermaye yeterlilik oranı üzerinde negatif ve anlamlı bir etkisi olduğunu göstermiştir. Ardından döviz kuru şoklarının da dahil edildiği ekonomik sermaye modeli ile Türk Eximbank bilançosu üzerinden stres testi uygulamasına yer verilmiş ve çıkan sonuçlar kur faktörünün en az ülke not düşüşü kadar sermaye yeterliliği üzerinde etkili olduğunu göstermiştir.

IMPLEMENTING STRESS TESTING WITHIN ICAAP FRAMEWORK CASE STUDY: TURK EXIMBANK

The lens for soundness of a financial organization is accepted as the concept of “Capital Adequacy Ratio (CAR)” which was tied to a formulation by Basel regulations. One of the most common tools to determine the potential risks is stress testing and Basel principles incorporate stress testing application for banks either, but there are important deficiencies about the inherent system which needs to be improved immediately. The purpose of this study is to point out the inefficiencies of the Basel rules over Turkish Banking Sector. In this article, the Turkish banking system will be subjected to an econometric analysis over the factors affecting the capital adequacy ratio. According to results, the exchange rate risk has a negative effect on the capital adequacy ratio. Following this econometric result will be a stress test is applied to the Turk Eximbank sample through the exchange rate parameter. The main consequence of the study is that the effect of exchange rate on capital adequacy is at least as strong as the one-notch downgrade of a country.

PDF

___

Abdioğlu, H. , Büyükşalvarcı, A. (2011), Determinants of capital adequacy ratio in Turkish Banks: A panel data analysis, African Journal of Business Management Vol.5 (27), pp. 11199-11209, 9 November, 2011
Ahmad, R., Ariff, M. and Skully, M. (2008). The Determinants of Bank Capital Ratios in a Developing Economy. Asia-Pacific Financial Markets, 15(3-4), pp.255272.
Ahmed, L. (2015) The Effect of Foreign Exchange Exposure on the Financial Performance of Commercial Banks in Kenya. International Journal of Scientific and Research Publications, 5(11), 115-120
Bolgün, K. and Akçay, M. (2009). Risk yönetimi. 1st Ed. İstanbul: Scala Yayıncılık.
Candan, H.; Özün, A. (2009).Bankalarda Risk Yönetimi ve Basel II. 2nd Ed.(5-25). İstanbul: Türkiye İş Bankası Kültür Yayınları.
He, Ling T. A. Fayman and K. M Casey (2014) Bank Profitability: The Impact of Foreign Currency Fluctuations.
Hull, J. (2015). Risk management and financial institutions. 1st Ed. Hoboken: Wiley.
Irawan, W. and Anggono, A. H. (2015) A Study of Capital Adequacy Ratio and Its Determinants in Indonesian Banks: A Panel Data Analysis
Karahanoğlu, İ. (2015), Estimation of Turkish Investment and Development Banks Capital Adequacy Ratio by Markov Chains, The Journel of International Social Research; Vol. 8, Issue.41; 2015. ISSN 1307-9581.
Bateni, L., Vakilifard, H. & Asghari, F. (2014), The Influential Factors on Capital Adequacy Ratio in Iranian Banks, International Journal of Economics and Finance; Vol. 6, No. 11; 2014. ISSN 1916-971X E-ISSN 1916-9728 Published by Canadian Center of Science and Education.
Mekonnen, Y. (2015). Determinants Of Capital Adequacy Of Ethiopia Commercial Banks. European Scientific Journal September 2015 edition vol.11, No.25 ISSN: 1857 – 7881 (Print) e - ISSN 1857- 7431, p. 315-321
Norbaya Yahaya, S., Mansor, N. and Okazaki, K. (2016). Financial Performance and Economic Impact on Capital Adequacy Ratio in Japan. International Journal of Business and Management, 11(4), p.14.
Shingjergji, A. and Hyseni, M. (2015), The Determinants of the Capital Adequacy Ratio in the Albanian Banking System During 2007 - 2014, International Journel of Economics, Commerce and Management; Vol. 3, Issue.1 2015. ISSN 2348-0386.
Williams, H. T. (2011), Determinants of capital adequacy in the Banking Sub-Sector of the Nigeria Economy: Efficacy of Camels. (A Model Specification with CoIntegration Analysis), International Journal of Academic Research in Business and Social Sciences October 2011, Vol. 1, No. 3 ISSN: 2222-6990.
Wong, E., Wong, j and Leung, P (2008). The foreign exchange exposure of Chinese banks. Hong Kong Monetary Authority, working paper 07/2008.
http://www.pwc.com/gx/en/financial-services/publications/assets/pwc-passing-thestress-test-pwc-survey-on-regulatory-stress-testing-in-banks.pdf [Accessed 2 May 2017, Web].
https://www.capgemini.com/resource-fileaccess/resource/pdf/us_stress_testing_regulations_a_comparative_overview.pdf [Accessed 5 May 2017, Web].
http://www.bankofengland.co.uk/publications/Documents/quarterlybulletin/2016/q3/ a1.pdf [Accessed 11 Apr. 2017, Web].
http://www.oliverwyman.com/content/dam/oliverwyman/global/en/2015/may/OW_and_IACPM_Perspectives_on_the_Evolving_Rol e_of_Enterprise-Wide_Stress_Testing.pdf [Accessed 15 Mar. 2017, Web].
https://www.tbb.org.tr/Content/Upload/Dokuman/795/Altintas_Kitap.pdf [Accessed 15 Feb. 2017, Web].