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Measuring Systemic Risks in the Turkish Banking Sector

Author

Listed:
  • Sengul, Serkan

    (Yildiz Technical University)

  • Yilmaz, Ensar

    (Yildiz Technical University)

Abstract

This paper focused on measuring the systemic risks in Turkey’s 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 ΔCoVaR measures are estimated for the six Turkish banks, which are listed, on the Borsa Istanbul (BIST) during 2000–2016 period by using Engle’s 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 ΔCoVaR) 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.

Suggested Citation

  • Sengul, Serkan & Yilmaz, Ensar, 2019. "Measuring Systemic Risks in the Turkish Banking Sector," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 10(5), pages 1071-1084, October.
    • Handle: RePEc:ris:buecrj:0443
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    Citations

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    Cited by:

    1. Sinem Derindere Köseoğlu, 2023. "Understanding Systemic Risk Dynamics and Economic Growth: Evidence from the Turkish Banking System," Sustainability, MDPI, vol. 15(19), pages 1-24, September.

    More about this item

    Keywords

    Systemic Risk; DCC (Dynamic Conditional Correlation) Model; MES (Marginal Expected Shortfall); CoVaR (Conditional Value at Risk);
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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