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Identifying the systemically important banks of Turkey with the CoVaR method

The purpose of this paper is to measure the systemic risk contributions of Turkish banks and to identify the systemically important banks of Turkey during the period from 2005 to 2016. We apply the conditional value-at-risk (CoVaR) method proposed by Adrian and Brunnermeier (2009) using quantile reg...

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Autores principales: Civan, Zehra, Simsek, Gulhayat Golbasi, Akay, Ebru Caglayan
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier 2020
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7479287/
https://www.ncbi.nlm.nih.gov/pubmed/32939413
http://dx.doi.org/10.1016/j.heliyon.2020.e04790
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author Civan, Zehra
Simsek, Gulhayat Golbasi
Akay, Ebru Caglayan
author_facet Civan, Zehra
Simsek, Gulhayat Golbasi
Akay, Ebru Caglayan
author_sort Civan, Zehra
collection PubMed
description The purpose of this paper is to measure the systemic risk contributions of Turkish banks and to identify the systemically important banks of Turkey during the period from 2005 to 2016. We apply the conditional value-at-risk (CoVaR) method proposed by Adrian and Brunnermeier (2009) using quantile regression. The study includes thirteen major banks of Turkey, including both public and private banks, out of a total of 52 banks. The banks are ranked in terms of their systemic risk contribution to the Turkish financial system based on their asset returns, macroeconomic variables and individual bank variables. The study reveals that Akbank, Garanti, Yapi Kredi and Isbank have the highest systemic risk contribution to the financial system when adding macroeconomic variables to the model. This ranking is changed to Yapi Kredi, Garanti, TEB, Sekerbank and Akbank when taking into account bank-specific variables. One surprising result is that risk in isolation and the spillover risks of public banks are smaller than in large private banks. Furthermore, the marginal systemic risk contributions of public banks are smaller than those of private banks. In conclusion, authorities improve the regulatory framework according to the context of CoVaR in addition to monitor the idiosyncratic risks of banks.
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spelling pubmed-74792872020-09-15 Identifying the systemically important banks of Turkey with the CoVaR method Civan, Zehra Simsek, Gulhayat Golbasi Akay, Ebru Caglayan Heliyon Research Article The purpose of this paper is to measure the systemic risk contributions of Turkish banks and to identify the systemically important banks of Turkey during the period from 2005 to 2016. We apply the conditional value-at-risk (CoVaR) method proposed by Adrian and Brunnermeier (2009) using quantile regression. The study includes thirteen major banks of Turkey, including both public and private banks, out of a total of 52 banks. The banks are ranked in terms of their systemic risk contribution to the Turkish financial system based on their asset returns, macroeconomic variables and individual bank variables. The study reveals that Akbank, Garanti, Yapi Kredi and Isbank have the highest systemic risk contribution to the financial system when adding macroeconomic variables to the model. This ranking is changed to Yapi Kredi, Garanti, TEB, Sekerbank and Akbank when taking into account bank-specific variables. One surprising result is that risk in isolation and the spillover risks of public banks are smaller than in large private banks. Furthermore, the marginal systemic risk contributions of public banks are smaller than those of private banks. In conclusion, authorities improve the regulatory framework according to the context of CoVaR in addition to monitor the idiosyncratic risks of banks. Elsevier 2020-09-01 /pmc/articles/PMC7479287/ /pubmed/32939413 http://dx.doi.org/10.1016/j.heliyon.2020.e04790 Text en © 2020 The Authors http://creativecommons.org/licenses/by/4.0/ This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).
spellingShingle Research Article
Civan, Zehra
Simsek, Gulhayat Golbasi
Akay, Ebru Caglayan
Identifying the systemically important banks of Turkey with the CoVaR method
title Identifying the systemically important banks of Turkey with the CoVaR method
title_full Identifying the systemically important banks of Turkey with the CoVaR method
title_fullStr Identifying the systemically important banks of Turkey with the CoVaR method
title_full_unstemmed Identifying the systemically important banks of Turkey with the CoVaR method
title_short Identifying the systemically important banks of Turkey with the CoVaR method
title_sort identifying the systemically important banks of turkey with the covar method
topic Research Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7479287/
https://www.ncbi.nlm.nih.gov/pubmed/32939413
http://dx.doi.org/10.1016/j.heliyon.2020.e04790
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