 A Macro Stress Test Model of Credit Risk for the Turkish Banking SectorÇağatay Başarır Asian Economic and Financial Review, 2016, vol. 6, issue 12, 762-774 Abstract: Banking sector occupy an important position in the financial system. Consequently, in order to maintain financial stability in a country, financial system and major banks of the sector have importance. At this point, financial stability of the banks and the sector may be discussed. Sensitivity of the sector against the shocks may be measured and evaluated properly. A stress test is a technique to measure the vulnerability of a bank or the aggregate banking sector against a set of hypothetic scenarios or events. This paper proposes a model to conduct macro stress test of credit risk for the banking sector based on scenario analysis. In this study firstly a macroeconomic credit risk model based on Wilson’s CreditPortfolioView for Turkish Banking Sector between the period 1999Q1-2012Q4 therefore 2013Q1-2014Q4 period is forecasted using historical simulation analysis. 3 historical scenarios are built for the macroeconomic credit risk model of banking sector. Then, responses of the sector’s default rates against the macro- shocks are detected. Responses of the default rates are compared with the historical date and financial soundness of the sector are analyzed. Keywords: Banking sector; Financial stability; Credit risk; Stress tests; Default rates; Scenario analysis. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:asi:aeafrj:v:6:y:2016:i:12:p:762-774:id:1525 Access Statistics for this article More articles in Asian Economic and Financial Review from Asian Economic and Social Society |
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