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Credit Risk Macro Stress Test Model for Turkish Banking Industry

Ebru SONBUL Iskender

Journal of BRSA Banking and Financial Markets, 2012, vol. 6, issue 1, 9-44

Abstract: The aim of this study is to conduct macro stress test of credit risk for the Turkish Banking Industry based on scenario analysis. In this study vector auto regression model is used to determine the interrelations between the macroeconomic variables and develop consistent scenarios spread to two years. Also in this study using time series econometrics two microeconomic models are developed to estimate total loans and non performing loan ratio of the industry and finally the effects of the scenarios on the credit losses and capital adequacy ratios are determined. Accordingly the study reveals that industry’s resilience is high against various shocks.

Keywords: Stress Testing; Credit Risk; Macro Model; Scenario Analysis; Capital. Adequacy Ratio (search for similar items in EconPapers)
JEL-codes: G21 G32 C32 (search for similar items in EconPapers)
Date: 2012
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Handle: RePEc:bdd:journl:v:6:y:2012:i:1:p:9-44