Measuring Systemic Risks in the Turkish Banking Sector
Yıl: 2019 Cilt: 10 Sayı: 5 Sayfa Aralığı: 1071 - 1084 Metin Dili: İngilizce DOI: 10.20409/berj.2019.222 İndeks Tarihi: 22-01-2020
Measuring Systemic Risks in the Turkish Banking Sector
Öz: This paper focused on measuring the systemic risks in Turkey’s banking sectorby using two major measures that have been proposed in the literature as conditionalvalue at risk (CoVaR) and marginal expected shortfall (MES). In order to compute thecontribution of banking sector to systemic risks, the MES and ΔCoVaR measures areestimated for the six Turkish banks, which are listed, on the Borsa Istanbul (BIST) during2000–2016 period by using Engle’s dynamic conditional correlation model. Thepreliminary results of this study show that although the measures provide differentrankings for the systemic risk contributions, they turn out to be qualitatively very similarin explaining the cross-sectional differences in systemic risk contributions. Secondly,both systemic risk measures (MES and ΔCoVaR) are analyzed to determine therelationships between some variables associated with bank characteristics (e.g., VaR,size and leverage ratio) and banks' systemic risk contributions, via simple panel dataregression methods.
Anahtar Kelime: Konular:
Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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| APA | Şengül S, YILMAZ E (2019). Measuring Systemic Risks in the Turkish Banking Sector. , 1071 - 1084. 10.20409/berj.2019.222 |
| Chicago | Şengül Serkan,YILMAZ Ensar Measuring Systemic Risks in the Turkish Banking Sector. (2019): 1071 - 1084. 10.20409/berj.2019.222 |
| MLA | Şengül Serkan,YILMAZ Ensar Measuring Systemic Risks in the Turkish Banking Sector. , 2019, ss.1071 - 1084. 10.20409/berj.2019.222 |
| AMA | Şengül S,YILMAZ E Measuring Systemic Risks in the Turkish Banking Sector. . 2019; 1071 - 1084. 10.20409/berj.2019.222 |
| Vancouver | Şengül S,YILMAZ E Measuring Systemic Risks in the Turkish Banking Sector. . 2019; 1071 - 1084. 10.20409/berj.2019.222 |
| IEEE | Şengül S,YILMAZ E "Measuring Systemic Risks in the Turkish Banking Sector." , ss.1071 - 1084, 2019. 10.20409/berj.2019.222 |
| ISNAD | Şengül, Serkan - YILMAZ, Ensar. "Measuring Systemic Risks in the Turkish Banking Sector". (2019), 1071-1084. https://doi.org/10.20409/berj.2019.222 |
| APA | Şengül S, YILMAZ E (2019). Measuring Systemic Risks in the Turkish Banking Sector. Business and Economics Research Journal, 10(5), 1071 - 1084. 10.20409/berj.2019.222 |
| Chicago | Şengül Serkan,YILMAZ Ensar Measuring Systemic Risks in the Turkish Banking Sector. Business and Economics Research Journal 10, no.5 (2019): 1071 - 1084. 10.20409/berj.2019.222 |
| MLA | Şengül Serkan,YILMAZ Ensar Measuring Systemic Risks in the Turkish Banking Sector. Business and Economics Research Journal, vol.10, no.5, 2019, ss.1071 - 1084. 10.20409/berj.2019.222 |
| AMA | Şengül S,YILMAZ E Measuring Systemic Risks in the Turkish Banking Sector. Business and Economics Research Journal. 2019; 10(5): 1071 - 1084. 10.20409/berj.2019.222 |
| Vancouver | Şengül S,YILMAZ E Measuring Systemic Risks in the Turkish Banking Sector. Business and Economics Research Journal. 2019; 10(5): 1071 - 1084. 10.20409/berj.2019.222 |
| IEEE | Şengül S,YILMAZ E "Measuring Systemic Risks in the Turkish Banking Sector." Business and Economics Research Journal, 10, ss.1071 - 1084, 2019. 10.20409/berj.2019.222 |
| ISNAD | Şengül, Serkan - YILMAZ, Ensar. "Measuring Systemic Risks in the Turkish Banking Sector". Business and Economics Research Journal 10/5 (2019), 1071-1084. https://doi.org/10.20409/berj.2019.222 |
