Due to its known weaknesses Value at Risk (VaR) has been modified to have a better market risk measurement model. 2007-2008 global financial crisis has increased the necessity to incorporate market liquidity into widely used models. This is to raise the required regulatory capital for trading...

The challenges threatening financial stability have grown owing to the increasing uncertainties in the global markets since the financial crisis. This has led policymakers to grant a larger role to financial stability in their implementations. Accordingly, the Turkish Central Bank modified its...

In this study, a market liquidity index for Turkey is built, which presents information about the course of the liquidity in the financial markets. Moreover, the impact of the 2007-2009 global financial crisis on Turkey's financial system is examined by comparing the index to VIX, a risk...

This paper empirically analyzes the effect of monetary policy changes on loan supply of Turkish banks and presents the evidence that bank lending channel of monetary policy transmission mechanism is operating through the capital adequacy of Turkish banks. By using the CAR as an indicator of...

We provide a detailed classification of core and non-core liabilities for the Turkish banking system à laShin and Shin (2010). We further carry out a two-stage liquidity stress test similar to Van Den End (2010) where we simulate inflow and outflow factors as well as the network topology of...

This study considers financial performances of commercial banks of Turkey in the period of 2003 and 2010. The financial performance of banks is measured using an indexing model developed in this study. The model considers fundamental performance characteristics of banks and chooses related...