{"id":4764,"date":"2019-10-18T10:15:43","date_gmt":"2019-10-18T07:15:43","guid":{"rendered":"https:\/\/www.berjournal.com\/?p=4764"},"modified":"2019-10-19T02:11:48","modified_gmt":"2019-10-18T23:11:48","slug":"measuring-systemic-risks-in-the-turkish-banking-sector","status":"publish","type":"post","link":"https:\/\/www.berjournal.com\/tr\/measuring-systemic-risks-in-the-turkish-banking-sector","title":{"rendered":"Measuring Systemic Risks in the Turkish Banking Sector"},"content":{"rendered":"

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Makale Bilgileri<\/td>\n<\/tr>\n
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Dergi:<\/td>\nBusiness and Economics Research Journal<\/td>\n<\/tr>\n
Makalenin Ba\u015fl\u0131\u011f\u0131:<\/td>\nMeasuring Systemic Risks in the Turkish Banking Sector<\/td>\n<\/tr>\n
Yazar(lar):<\/td>\nSerkan \u015eeng\u00fcl, Ensar Y\u0131lmaz<\/td>\n<\/tr>\n
Cilt:<\/td>\n10<\/td>\n<\/tr>\n
Say\u0131:<\/td>\n5<\/td>\n<\/tr>\n
Y\u0131l:<\/td>\n2019<\/td>\n<\/tr>\n
Sayfa:<\/td>\n1071-1084<\/td>\n<\/tr>\n
ISSN:<\/td>\n2619-9491<\/td>\n<\/tr>\n
DOI Numaras\u0131:<\/td>\n10.20409\/berj.2019.222<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n
\u00d6z<\/td>\n<\/tr>\n
This paper focused on measuring the systemic risks in Turkey\u2019s banking sector by using two major measures that have been proposed in the literature as conditional value at risk (CoVaR) and marginal expected shortfall (MES). In order to compute the contribution of banking sector to systemic risks, the MES and \u0394CoVaR measures are estimated for the six Turkish banks, which are listed, on the Borsa Istanbul (BIST) during 2000\u20132016 period by using Engle\u2019s dynamic conditional correlation model. The preliminary results of this study show that although the measures provide different rankings for the systemic risk contributions, they turn out to be qualitatively very similar in explaining the cross-sectional differences in systemic risk contributions. Secondly, both systemic risk measures (MES and \u0394CoVaR) are analyzed to determine the relationships between some variables associated with bank characteristics (e.g., VaR, size and leverage ratio) and banks’ systemic risk contributions, via simple panel data regression methods.<\/td>\n<\/tr>\n
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Anahtar Kelimeler:<\/td>\nSystemic Risk, DCC (Dynamic Conditional Correlation) Model, MES (Marginal Expected Shortfall), CoVaR (Conditional Value at Risk)<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n
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JEL S\u0131n\u0131fland\u0131rmas\u0131:<\/td>\nC23, G21, G28<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n
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Makale Bilgileri Dergi: Business and Economics Research Journal Makalenin Ba\u015fl\u0131\u011f\u0131: Measuring Systemic Risks in the Turkish Banking Sector Yazar(lar): Serkan \u015eeng\u00fcl, Ensar Y\u0131lmaz Cilt: 10 Say\u0131: 5 Y\u0131l: 2019 Sayfa: 1071-1084 ISSN: 2619-9491 DOI Numaras\u0131: 10.20409\/berj.2019.222 \u00d6z This paper focused on measuring the systemic risks in Turkey\u2019s banking sector by using two major measures that […]<\/p>\n

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