Türk bankacılık sektöründe kredi riski ölçümü ve stres test uygulaması
Abstract
Gelecek içinde birçok bilinmeyeni barındırır. Hayat, planlananların hayata geçirileceğini garanti etmez. Değişkenler birçok faktörün etkisi ile farklı şekilde gerçekleşebilir. Bu durumun oldukça negatif sonuçları olabilir. Gelecekte yaşanacak birçok olumsuz senaryo ile bağlantılı muhtemel kayıpların hesaplamalarına için 'risk yönetimi' tekniklerinden ve çalışmalarından yararlanılabilir. Bu sayede daha donanımlı ve hazırlıklı olunabilir. Bu tezde, risk yönetimi uygulamaları ile Türkiye ekonomisinin dayanıklılık çalışması, ekonominin en önemli referans sektörü Bankacılık üzerinden yapılmıştır. İlk bölümlerde, Bankacılık sektörünün tarihsel gelişimi incelenmiştir. Risk ve Risk Yönetimi konuları kavramsal olarak sunulmuştur. Risk faktörleri ile birlikte Basel uygulaması ve risk ölçüm modelleri anlatılmıştır. Stres test çalışmasına ilişkin metotlar ve gereklilikleri, derecelendirme başlığında detaylı bir şekilde ele alınmıştır. 2016 yılının ikinci yarısında Türkiye'nin kredi notunun yatırım yapılabilir seviyenin altına çekilmesi ile birlikte yapılan değerlendirme raporlarında ekonomik gerekçeler ve artan jeopolitik riskler, savaş durumları, göç olayları, terör eylemleri ile birlikte halkta önemli korku ve endişe oluştuğu ifade edilmiştir. Raporlarda ifade edilen en dikkat çekici ifade, ekonominin ve güven ortamının daha da bozulacağı konusundaki endişedir. Stres test çalışmasında, Bankacılık sektörü üzerinden ekonominin de vereceği sınav test edilmeye çalışılmıştır.
The future contains many unknowns. Life does not guarantee that it will happen as planned. Variables can appear differently with many factors, and these possible scenarios can have many negative consequences. In this context, risk management makes it possible to make various calculations on possible losses in the future against many different situations. It contributes to making it more prepared and more equipped. In this study, the durability test was carried out on the banking sector of the Turkish economy with the contribution of the risk management processes. In the first part, the banking sector has been examined on a historical basis. Types of risks are described under the title of risk and risk management. Regulation place and risk measurement techniques are explained. Continued stress testing applications were included. While the main objective of the study was the stress testing of the banking sector, the credit risk was preliminary. For this reason, credit risk and rating are discussed in detail. Credit rating methodology of S & P, one of the three largest rating agencies in the world, is presented. In the conclusion part, recent internal and external developments were examined. The most important development or outcome is the reduction of Turkey's credit rating below the investment grade. In addition to the economic situation as well as those experienced in the process of lowering this note, negative expectations in political and perception level in the international arena have increased considerably. Indeed, among the reasons for the reduction of rating grades, these are important details. In the stress test, the market indicators in the past 10 years and the statistical reflections of these values and historical facts in the financial indicators were used. The crisis scenarios were examined and the worst-case scenario was taken. In the scenario study, it was aimed to analyze correctly all variables with bottom-to-top data.
The future contains many unknowns. Life does not guarantee that it will happen as planned. Variables can appear differently with many factors, and these possible scenarios can have many negative consequences. In this context, risk management makes it possible to make various calculations on possible losses in the future against many different situations. It contributes to making it more prepared and more equipped. In this study, the durability test was carried out on the banking sector of the Turkish economy with the contribution of the risk management processes. In the first part, the banking sector has been examined on a historical basis. Types of risks are described under the title of risk and risk management. Regulation place and risk measurement techniques are explained. Continued stress testing applications were included. While the main objective of the study was the stress testing of the banking sector, the credit risk was preliminary. For this reason, credit risk and rating are discussed in detail. Credit rating methodology of S & P, one of the three largest rating agencies in the world, is presented. In the conclusion part, recent internal and external developments were examined. The most important development or outcome is the reduction of Turkey's credit rating below the investment grade. In addition to the economic situation as well as those experienced in the process of lowering this note, negative expectations in political and perception level in the international arena have increased considerably. Indeed, among the reasons for the reduction of rating grades, these are important details. In the stress test, the market indicators in the past 10 years and the statistical reflections of these values and historical facts in the financial indicators were used. The crisis scenarios were examined and the worst-case scenario was taken. In the scenario study, it was aimed to analyze correctly all variables with bottom-to-top data.
Description
Keywords
Bankacılık, İşletme, Banka sermayesi, Bankacılık Düzenleme ve Denetleme Kurumu, Bankacılık sistemi, Banking, Döviz kuru riski, Business Administration, Bank capital, Kredi riski, Banking Regulation and Supervision Agency, Olasılık-etki analizi, Banking system, Exchange rate risk, Politik risk, Credit risk, Probability-effect analysis risk, Riske maruz değer, Political risk, Stres testi, Value at risk, Stress testing, Türk bankacılık sektörü, Turkish banking sector