Finansal istikrar ve IFRS-9:Türk bankacılık sektörü kredi riskinin analizi
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2016
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Tez çalışmasında IFRS-9 standardının finansal araçlar ve kredi riski açısından getirdiği yenilikler IAS-39 standardı ile karşılaştırmalı olarak incelenmiş, standardının Türk Bankacılık Sektörü üzerinde etkileri tartışılmıştır. Bunun yanında VAR yöntemi kullanılarak Türk bankacılık sektöründeki temerrüt oranlarını belirleyen makroekonomik değişkenler analiz edilmiştir. IFRS-9 standardının kredi riskine ilişkin getirdiği beklenen zarar yaklaşımı dikkate alınarak, Türk bankacılık sektörüne ilişkin oluşabilecek riskler tezin son bölümünde yapı-kurum-özne analizi kapsamında incelenmiştir. Bu kapsamda, Türk Bankacılık Sektöründe hali hazırda ürün bazında kullanılan Genel Karşılık oranlarının IFRS-9 standartları çerçevesinde temerrüt oranlarını yansıtacak biçimde değişeceği ve geçişin etkilerinin azaltılması için bazı portföylerde geçiş öncesi düzeltmeler yapılması gerektiği gösterilecektir. Bunun yanında sadece düzenlemeler yoluyla finansal istikrarı sağlayacak bir mekanizma kurmak mümkün değildir. Bu kapsamda Türk bankacılık sektörünün karşı karşıya kalabileceği ve Türkiye ekonomisinin de yapısal kırılganlık kaynağı olan sermaye hareketlerinde ani duruş ve reel sektör borç dolarizasyonu riskleri de incelenmiş ve sermaye hareketleri ile büyüme arasında pozitif yönlü korelasyon tespit edilmiştir. Bu kapsamda yapılan yapı-kurum-özne analizi sonucunda, parasal otorite tarafından hedeflenen amaçlara ulaşmak için uygun politika aracına sahip olmadığı, bu sebeple kurumlar arasında güçlü bir işbirliği olması gerektiği sonucuna varılmıştır.
A comparison between the new classification and measurement requirements brought by IFRS-9 standard with respect to financial instruments and credit risk versus IAS-39 standard has been made, and the new standard's effects on the Turkish Banking Sector have been discussed in this thesis study. Additionally, the macroeconomic variables defining the default rates in the Turkish Banking Sector have been analyzed with the VAR method. Considering the IFRS-9 standard requires expected loss approach with respect to credit risk, the potential risks that may arise in the Turkish banking sector have been analyzed within the scope of the structure-institution-subject analysis in the last part of the thesis. Accordingly, it has been emphasized that the general reserve rates that are currently used in the Turkish Banking Sector will need to change to reflect the default rates within the framework of the IFRS-9 standards and some amendments need to be made on some portfolios before the transition in order to mitigate the effects of this transition. Moreover, it is not possible to establish a mechanism to ensure financial stability only through regulations. Therefore the abrupt stagnations and real economy debt dollarization risks in the capital movements which the Turkish banking sector may face and which is the reason for the structural vulnerability of the Turkish economy have been examined and it's been found out that there is a positive correlation between the capital movements and growth. As a result of the structure-institution-subject analysis, it's been concluded that there is no policy tool suitable for reaching the objectives set by the monetary authority and there should indeed be a strong cooperation among institutions.
A comparison between the new classification and measurement requirements brought by IFRS-9 standard with respect to financial instruments and credit risk versus IAS-39 standard has been made, and the new standard's effects on the Turkish Banking Sector have been discussed in this thesis study. Additionally, the macroeconomic variables defining the default rates in the Turkish Banking Sector have been analyzed with the VAR method. Considering the IFRS-9 standard requires expected loss approach with respect to credit risk, the potential risks that may arise in the Turkish banking sector have been analyzed within the scope of the structure-institution-subject analysis in the last part of the thesis. Accordingly, it has been emphasized that the general reserve rates that are currently used in the Turkish Banking Sector will need to change to reflect the default rates within the framework of the IFRS-9 standards and some amendments need to be made on some portfolios before the transition in order to mitigate the effects of this transition. Moreover, it is not possible to establish a mechanism to ensure financial stability only through regulations. Therefore the abrupt stagnations and real economy debt dollarization risks in the capital movements which the Turkish banking sector may face and which is the reason for the structural vulnerability of the Turkish economy have been examined and it's been found out that there is a positive correlation between the capital movements and growth. As a result of the structure-institution-subject analysis, it's been concluded that there is no policy tool suitable for reaching the objectives set by the monetary authority and there should indeed be a strong cooperation among institutions.
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Bankacılık, Bankacılık sektörü, Bankalar, Finansal istikrar, Banking, Banking sector, Kredi riski, Banks, Financial stability, Risk analizi, Credit risk, Türk bankacılık sektörü, Risk analysis, Turkish banking sector, Uluslararası Finansal Raporlama Standartları, International Financial Reporting Standarts
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140