Credit risk modelling based on macroeconomic variables and stress testing analyses

This study aims creating a new model based on macroeconomic variables to explain the default probability for Turkish banking sector and stress testing for determinig the sensibility of the system with respect to the credit risk, the most important risk for banking sector which's importance realized with the last financial crisis. First of all concepts about risk and especially credit risk is explicated. Secondly, the litterature review concerning current credit risk models is presented and the attention is drawn to the lack of knowledge in this field. Lastly, the new model is created with the choosen macroeconomic variables and the most important variables that effects the credit risk is appointed then stres tests are implemented.As a result it is determined that, the changes in non-performing loans are significantly impressed especially by interest rates, inflation, credtis to GDP ratio and growth rates. With stres tests it came through that the system is more instable and sensible after the last financial crisis.