Long-term analysis of riskiness in the Turkish banking sector
Küçük Resim Yok
Tarih
2020
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Peter Lang AG
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
This study aims to measure and track the riskiness of the Turkish banking sector for the longest period available by implementing Merton-based model. The sample in the study includes 16 banks traded at Borsa I?stanbul (BIST) between 1996 and 2018. Distance to default (DD) values are calculated for each bank in the sample period. It is observed that DD numbers generally reach their maximum values in the years before the crisis and significantly decrease during the stressful periods. The results also show that DD is a strong indicator for forecasting bank failure and a good indicator for forecasting crises. This means that it can be used as an early signal for forecasting the riskiness of individual banks and the overall sector. © Peter Lang AG 2020.
Açıklama
Anahtar Kelimeler
Failure, Merton Model, Risk, Structural Models, Turkish Banking Sector
Kaynak
Evolution of Money, Banking and Financial Crisis: History, Theory and Policy
WoS Q Değeri
Scopus Q Değeri
N/A
