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Mayıs 31, 2019 - Haz 11, 2019

Thesis Defense - Petek Filizer, M.Sc. Financial Engineering

 AN EMPIRICAL STUDY FOR THE SYSTEMIC RISK IN THE TURKISH BANKING SYSTEM 

Petek Filizer, M.Sc. Financial Engineering

Date: June 10, 2019

Time: 11:00

Location:  Özyeğin University Financial Engineering Center, Altunizade, İstanbul 

Thesis Committee:

Dr. Muzaffer Akat, Advisor, Özyeğin University

Dr. Levent Güntay, Özyeğin Üniversity

Assoc. Prof. Dr. Ersin Özuğurlu, İstanbul Technical University   

Abstract:

In this paper, 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 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’ 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 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.  

Bio:

Petek Filizer received the B. S.  in Mathematics, Izmir Institute of Technology, Izmir, Turkey in June 2016. She is pursuing a M.Sc. in Financial Engineering at Özyeğin University under the supervision of Dr. Muzaffer Akat.  Currently, she works as a performance analysis assistant specialist in İş Asset Management.