Türk Bankacılık Sektöründe Kredi Riski ve Modellenmesi

Demirel, Baki (2015): Türk Bankacılık Sektöründe Kredi Riski ve Modellenmesi.

Abstract

Following September 2010, the Central Bank of Turkey has targeted financial stability as well as its price stability. An increase in credit risks in the banking sector induces economic risks and therefore affects adversely the financial stability. The aim of this paper is to analyse the relationship between variables, that are believed to affect NLPs, in the Turkish banking sector and NLPs. For this purpose, Vector Autoregression (VAR) model is used. To study short- and long-run relationship between variables, Johansen Cointegration test and Error Correction Model are applied.

• Item Type: MPRA Paper
• English Title: Turkish Banking Sector Credit Risk and Modelling
• Language: Turkish
• Keywords: Banking Sector, Credit Risk, NPLs, VAR Model
• Subjects: E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy; E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy; E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E58 - Central Banks and Their Policies; G - Financial Economics > G1 - General Financial Markets > G18 - Government Policy and Regulation

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