Systemic risk in the turkish financial system, "Estimation and ranking of conditional capital shortfall by using SRISK method"

The primary objective of this thesis is to measure systemic risk in the Turkish Financial System (TFS) by using SRISK methodology and identifying Systemically Important Financial Institutions (SIFI). We identify the total amount of capital that the Turkish government would have to provide to bail out the financial system in case of a crisis. We use a sample data that covers the period from January 01, 2002 to December 31, 2018. This sample includes a total of 50,186 observations. We obtain daily logarithmic returns for Banks, index and market capitalization from BLOMBERG. Book value of debt and book value of assets are from balance sheets of banks. GJR-GARCH volatility model and standard DCC correlation model were used to achieve the objectives of the thesis. The findings of the thesis highlight two main results. First, TFS has a systemic risk by 155.47 billion TRY in December 2018. This is the total amount of capital that the Turkish government would have to provide to bail out the financial system in case of a crisis. Second, Halk bank (22.72 %), Vakif bank (18.70 %), İş (18.19 %), Yapı Kredi bank (17.06 %) contributed to a total of 76.67% of the systemic risks in Turkey at the end of 2018. Accordingly, these four banks identified as SIFI in Turkey during 2018. The main recommendation of the thesis is to establish a specialized systemic risk center in Turkey. Keywords: Turkish Financial System, Systemic Risk, SRISK, DCC-GARCH, Financial Crisis.