Measuring Systemic Risks in the Turkish Banking Sector (original) (raw)
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Jurnal Ekonomi dan Studi Pembangunan, 2020
This study aims to measure systemic risk in conventional commercial banks in Indonesia with the Conditional Value at Risk (CoVaR) model developed by Adrian and Brunnermeier (2009). The financial crises of 1998 and 2008 have become valuable lessons for Indonesian banks to always maintain financial system stability because the impact caused by systemic risks is very large. Systemic risk is the possibility of instability due to contagion in some or all of the financial system. This study uses a sample of 6 conventional commercial banks in Indonesia from January 2012 to December 2018. The results obtained from this study is the systemic risk is not related to the size of banks. Each bank has a negative externality so that it can cause a bank rush and systemic impact.
Systemic Risk Contribution of Individual Banks
In this study, we measure systemic importance of individual banks that are listed in the Istanbul Stock Exchange. Regarding the whole system as a portfolio of individual banks, we calculate the system-wide risk via contingent claims analysis. Using Shapley values, we assess the systemic importance of each bank according to its marginal contribution to the calculated system wide risk measure, expected shortfall of the system. Our calculations reveal that market participants perceived 2000 and 2001 banking crises to be devastating for the Turkish banking sector. Since 2002, the banking sector seems to do a good job in eliminating idiosyncratic shocks within the system. JEL G10, G13, C71 Keywords Systemic risk, Contingent claims analysis, Shapley value ÖZ Bu çalışmada, ĐMKB'de işlem gören bankaların sistemik riske katkıları ölçülmektedir. Bankacılık sistemine bankaların oluşturduğu bir portföy gibi yaklaşarak, Koşullu Alacak Analizi yoluyla sistemik risk hesaplanmaktadır. Shapley değerleri kullanılarak, her bankanın hesaplanan sistemik risk ölçütü olan beklenen kayba marjinal katkısı değerlendirilmektedir. Hesaplamalar, piyasa katılımcıları tarafından, 2000 ve 2001 bankacılık krizlerinin Türk Bankacılık Sektörü için oldukça tahripkar olarak değerlendirildiğini ortaya koymaktadır. 2002 sonrası için ise, bankacılık sektörünün sistem içindeki bireysel şokları bertaraf etmekte başarılı olduğu görülmektedir.
Financial Risks in Turkish Banking Industry: A Panel Data Analaysis on Istanbul Stock Exchange
Financial Risk and Management Reviews, 2020
Global price movements have been affecting markets dramatically in recent years. The changes in exchange rates, interest rates, and liquidity directly affect market value of firms. These risks are called financial risks and typically affect financial institutions. Many methods are developed to compute these risks. This study has a panel data analysis on 7 banks listed on Istanbul Stock Exchange. The motivation of this study is to investigate the relationship between financial risks (interest rate risk, exchange rate risk and liquidity risk) and market value of these banks. Many tests are available in the research such as VIF, AR Roots, Lag Length Selection Criteria, Cross Section Dependence Test, Delta Test, Unit Root Tests, Model Selection Tests, Heteroscedasticity and Autocorrelation Tests. Based on the tests, two way fixed effects model is developed. The results reveal that financial risks explain 29% of all price movements of commercial banks. The model is statistically significant. There is a positive relationship between liquidity and market value and negative relationships between interest rate risk and market value, and exchange rate risk and market value. The results are also consistent with the literature. The research is unique for the Turkish Banking industry and therefore is important academically as well as for risk management practice. Results show that banks operating in Turkey don't properly manage financial risks. Macroeconomic dynamics and maturity mismatch problems in Turkey require great attention on financial risks. It is recommended that banks should operate with more risk management instruments such as financial derivatives and corporate risk management. Contribution/Originality: This study is one of the very few studies which have investigated the relationship between financial risks and market value of Turkish commercial banks. Most studies on financial risks have analyzed non-financial firms. And the studies on financial risks of financial firms primarily focus on profitability.
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The aim of this work is to assess systemic risk of Tunisian listed banks. The goal is to identify the institutions that contribute the most to systemic risk and that are most exposed to it. We use the CoVaR that considered the systemic risk as the value at risk (VaR) of a financial institution conditioned on the VaR of another institution. Thus, if the CoVaR increases with respect to the VaR, the spillover risk also increases among the institutions. The difference between these measurements is termed △CoVaR, and it allows for estimating the exposure and contribution of each bank to systemic risk. Results allow classifying Tunisian banks in terms of systemic risk involvement. They show that public banks occupy the top places, followed by the two largest private banks in Tunisia. These five banks are the main systemic players in the Tunisian banking sector. It seems that they are the least sensitive to the financial difficulties of existing banks and the most important contributors to...
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Understanding Systemic Risk Dynamics and Economic Growth: Evidence from the Turkish Banking System
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The banking crisis experienced at the beginning of 2023 in the aftermath of the global 2008 crisis served as a stark reminder of the importance of systemic risk once again across the world. This study examines the dynamics of systemic risk in the Turkish banking system and its impact on sustainable economic growth between the period of 2007 and 2022. Through the Component Expected Shortfall (CES) method and quantile spillover analysis, private banks, such as Garanti Bank (GARAN), Akbank (AKBNK), İş Bank (ISCTR), and Yapı ve Kredi Bank (YKBNK), are identified as major sources of systemic risk. The analysis reveals a high level of interconnectedness among the banks during market downturns, with TSKB, Vakıfbank (VAKBNK), İş Bank (ISCTR), Halk Bank (HALKB), Akbank (AKBNK), Yapı ve Kredi Bank (YKBNK), and Garanti Bank (GARAN) serving as net risk transmitters, while QNB Finansbank (QNBFB), ICBC Turkey Bank (ICBCT), Şekerbank (SKBNK), GSD Holding (GSD), and Albaraka Türk (ALBRK) act as net...
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This paper aims at analyzing the effects of "size", "financial stability" and "equity return" on the systemic risk of Egyptian banks. This has been conducted using a sample of 11 banks (out of 14 banks listed in the Egyptian exchange), and covering the period from January 2003 to December 2013. Systemic risk is measured by "Value at Risk" that expresses the maximum loss within a q%-confidence interval during a certain period of time.
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This paper aims to study the capital insufficiency in various Tunisian banks which are on the list of the Tunisian stock exchange market. Basing our work on the various measures of systemic risk, we have modeled the shortfall capital of the Tunisian banking sector in order to compare private banks and public ones in terms of exposure to systemic risk. We have also studied the effect of stock market shocks on the banks' marginal expected shortfall. The results obtained show that the systemic risk for the period 2006 and 2013 is mainly conveyed by the three public banks.
Average Conditional Volatility: A Measure Of Systemic Risk For Commercial Banks
Journal of Business & Economics Research (JBER), 2011
We propose using the cross-sectional (daily) average conditional volatility of commercial bank stock returns as a measure of systemic risk for the U.S. banking industry. The performance of this measure is tested using data from the 2008 pre-crisis period. The measure is shown to incorporate individual bank risk as well as the cumulative riskiness of a cross-section of banks. Crosssectional regressions indicate that individual bank's probability of default is unrelated to the bank's conditional volatility during times of low, industry wide risk (as measured by average conditional volatility). However, the bank's conditional volatility significantly affects its probability of default when the industry is experiencing a high level risk. Regardless of the industry level risk, a bank's probability of default has a significant negative relation with its capital adequacy (as measured by the proportion of equity capital). Additionally, at an aggregate level, Granger causality tests indicate that the conditional volatility of 'big' banks causes the riskiness of medium and small banks to increase.