Alternative Approaches for Modelling Corporate Sector Credit Risk

Gulcan Yildirim Gungor and Tuba Pelin Sumer

CBT Research Notes in Economics from Research and Monetary Policy Department, Central Bank of the Republic of Turkey

Abstract: [EN] This note aims to estimate credit riskiness of the corporate sector in Turkey with alternative methods for January 2007 -March 2019 period. Initially, probability of default is calculated by option pricing method for the listed companies and the relationship with non-performing loan (NPL) ratio is examined. In the one-year period following the increase (decrease) in the probability of default, a similar upward (downward) movement is observed in the corporate NPL ratio of the banking sector. Since the option pricing method focuses on relatively large scale companies listed on the stock exchange, credit riskiness is also calculated using NPL additions and commercial loan interest rates to increase the comprehensiveness of the study and include financials of the relatively small scale firms (SMEs). Although the sample size and assumptions differ, credit risk indicators estimated by alternative methods move together.Therefore, the credit riskiness indicators estimated with high frequency market data is important for monitoring the financial fragilities of corporate sector and their reflections on asset quality of the banking sector. [TR] Bu calismada, Turkiye’de faaliyet gosteren reel sektor firmalarinin kredi riskliligi alternatif yontemlerle Ocak 2007-Mart 2019 donemi icin tahmin edilmektedir. Oncelikle opsiyon fiyatlama yontemiyle borsaya kote firmalar icin temerrut olasiligi hesaplanmakta ve firma kredisi tahsili gecikmis alacak (TGA) oraniyla arasindaki iliski incelenmektedir. Analiz sonuclarina gore reel sektorun temerrut olasiligindaki artisi (azalisi) izleyen bir yillik surecte bankacilik sektoru TGA oraninda da benzer bir yukari (asagi) yonlu hareket oldugu gorulmektedir. Opsiyon fiyatlama yonteminde borsaya kote gorece buyuk olcekli firmalara odaklanildigi icin, temsil kuvvetini arttirmak ve nispeten kucuk olcekli firmalarin finansal gelismelerini de analize dahil etmek amaciyla kredi riskliligi, TGA ilaveleri ve ticari kredi faiz oranlari kullanilarak da hesaplanmaktadir. Kapsanan orneklem ve varsayimlar farkli olsa da alternatif yontemlerle hesaplanan kredi riski gostergelerinin beraber hareket ettigi gorulmektedir. Dolayisiyla, yuksek frekanstaki piyasa verileri kullanilarak hesaplanan kredi riskliligi gostergelerinin, gecikmeli finansal tabloveri akisina sahip reel kesim firmalarinin finansal kirilganliklarinin izlenmesi ve bankacilik sektoru aktif kalitesine yansimasi icin onemli bir gosterge oldugu degerlendirilmektedir.

Date: 2020
New Economics Papers: this item is included in nep-ara, nep-cfn and nep-rmg
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