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...

Recent developments in Turkish derivatives markets demonstrate the increasing importance of risk management not only for individual banks but also for the entire system. In this context, this study analyzes the counterparty credit risk of OTC derivatives. The analysis is based on a hypothetical...

We provide a detailed classification of core and non-core liabilities for the Turkish banking system à la Shin 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...

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...