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Journals / Central Bank Review / 2013 / Cilt: 13 - Sayı: 2013

Bankaların sistemik riske katkısı

Systemıc rısk contrıbutıon of ındıvıdual banks

Hüseyin Çağrı AKKOYUN
Ramazan KARAŞAHİN
Gürsu KELEŞ
Pages
5–23
DOI
—
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Since 2002, the banking sector seems to do a good job in eliminating idiosyncratic shocks within the system.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:In this study, we measure systemic importance of individual banks that are listed in the Istanbul Stock Exchange.
📊
Key Findings & Data:Our calculations reveal that market participants perceived 2000 and 2001 banking crises to be devastating for the Turkish banking sector.
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Conclusion & Impact:Since 2002, the banking sector seems to do a good job in eliminating idiosyncratic shocks within the system.
🔬Design:Research Article
📍Scope:2000 Verileri
⚙️Variables:Domain Parameters

Abstract

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.

Özet

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

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Cite This Article

AKKOYUN, H. Ç., KARAŞAHİN, R., KELEŞ, G. (2013). Bankaların sistemik riske katkısı. Central Bank Review, Cilt: 13 - Sayı: 2013, 5–23. https://ajindex.com/articles/147360

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References (5)

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