We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
IMPLEMENTING STRESS TESTING WITHIN ICAAP FRAMEWORK CASE STUDY: TURK EXIMBANK.
- Authors
BENLİ, Vahit Ferhan; ŞENOL, Murat
- Abstract
The lens for soundness of a financial organization is accepted as the concept of "Capital Adequacy Ratio (CAR)" which was tied to a formulation by Basel regulations. One of the most common tools to determine the potential risks is stress testing and Basel principles incorporate stress testing application for banks either, but there are important deficiencies about the inherent system which needs to be improved immediately. The purpose of this study is to point out the inefficiencies of the Basel rules over Turkish Banking Sector. In this article, the Turkish banking system will be subjected to an econometric analysis over the factors affecting the capital adequacy ratio. According to results, the exchange rate risk has a negative effect on the capital adequacy ratio. Following this econometric result will be a stress test is applied to the Turk Eximbank sample through the exchange rate parameter. The main consequence of the study is that the effect of exchange rate on capital adequacy is at least as strong as the one-notch downgrade of a country.
- Subjects
FINANCE companies; TURK Eximbank (Company); FINANCIAL services industry; BASLE Accord (1988); BASEL II (2004)
- Publication
Istanbul Commerce University Journal of Social Sciences / İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 2018, Vol 17, Issue 33, p65
- ISSN
1303-5495
- Publication type
Case Study