Identifying systemically important banks in turkey by using quantile regression with the method of conditional value at risk

Systemic risk, one of the most dicussable and worked subjects after the global financial crisis of 2008, is studied on the behalf of banks operating in Turkey. The aim of this study is to analyze the banks in Turkey in terms of systemic risk and to identify systemically important banks of Turkey by using Conditional Value-at-Risk (CoVaR). One of the measurement methods of systemic risk, Conditional Value-at-Risk (CoVaR) has been applied by the way of quantile regression in this study. The quarterly and yearly publicly announced financial statements of thirteen banks which composed of almost 87% of the whole assets size of Turkish financial sector were used in the study from the period of 31.03.2005 to 31.12.2016. This study has a feature of the first study on systemic risk based on using quantile regression and CoVaR method for the banks operating in Turkey. During the process of evaluating the contribution of the financial institutions to the financial system's systemic risk, it has been estimated value-at-risk and conditional value-at-risk of these thirteen banks by using quantile regression to take into consideration the growth rate of return of assets of each bank, macro economic variables of the financial system and banking variables. Afterwards, their contribution to systemic risk (∆CoVaR) of the financial system has been estimated separetely. As a result, it has been concluded that the large-scale banks has more contribution to the systemic risk of the financial system than the others.