Browsing by Author "Filizer, Petek"

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    Master ThesisPublicationMetadata only
    An empirical study for the systemic risk in the Turkish banking system
    (2019-06-10) Filizer, Petek; Akat, Muzaffer; Akat, Muzaffer; Güntay, Levent; Özuğurlu, E.; Filizer, Petek
    In this thesis, the relationship between the interbank connections and the systemic risk have been analyzed in the Turkish Banking System. The data is gathered from the financial statements of banks on a yearly basis between the years 2007 and 2018. In an attempt to find the triggering levels of systemic risk, a study is implemented by only using the number of banks, independent of data of banks. With different values of default probability {u1D443} of a single bank, the likelihood to giving a start to a contagion effect is measured. It is found that, in Turkish banking system, it is enough for a single bank to have a default likelihood of 1 percent to trigger the contagion effect. The default probabilities have been evaluated based on the strength of banks’ Capital Adequacy Ratio(CAR) level. It is concluded that high level of average CAR of a bank reduces the possibility of default. Large Banks are identified as the pioneers among the lenders, while State Banks are the main borrowers of the system. In a primary scenario analysis where one bank in the lender bank group gives the entire loan that would be given to a bank in the borrower bank group, in the insolvency situation of borrower bank, reaction of the lender bank based on its Return On Assets(ROA) level have been analyzed. If the entire loan that would be given to borrower bank distributed evenly among a lender group, contagion effect is deduced to be tolerated.