Bankacılık Sektöründe Kredi Riski ve Kredi Türevleri: Ampirik Bir Uygulama

Abstract

Banks are exposed to credit risk arising from both the transactions to which they are a party and the assets they have. Credit risk arises from the possibility of default or impairment of the assets in the portfolio of the banks as a result of the lending transactions in the fund transfer process. Exposure to credit risk leads to a decrease in the value of assets on one hand, it also causes additional capital requirements and limits the new lending transactions. The effective management of credit risk and the reduction of credit risk are very important in terms of the quality of assets and adjustment of capital requirements. Credit derivatives that are widely used in credit risk mitigation are; Credit Default Swaps (CDS), Total Return Swaps (TRS), Credit Linked Notes (CLN), Credit Spread Option (CSO), Collateralized Debt Obligations (CDO). This study includes the definition of credit transactions and classifying them based on their characteristics, definition of credit risk, factors of credit risk, approaches to measurement of credit risk, parameters related to measurement of credit risk, credit portfolio risk measurement models, credit risk management and credit risk approach in Basel compromises, the size of credit risk in the Turkish banking sector, the definition of credit derivative, types of credit derivatives and examples of credit derivative transactions to which banks are a party. Furthermore, in the third part of the study, the econometric relationship between the CDS levels and loan rates (and the other macroeconomic variables) in the study conducted by Norden and Wagner (2008) is tested in terms of the indicators of Turkey. In econometric model the relationships between Turkey's 5 year CDS and Turkey's important interest rate indicators which are TL commercial loans dropped in interest rates by the banks in Turkey, TR 2-year government bonds and TL / USD 5 year swap rates are analysed. The data used in the study are monthly from June 2006 to February 2019 and are subjected to econometric models and tests respectively for stationarity (unit root), co-integration, vector error correction (VECM) and Granger Causality. According to the results of the tests and models, the co-integration relationship between the variables is determined and then applied Granger causality test, which is based on the vector error correction model.