Risk management and capital adequacy in Turkish participation and conventional banks: A comparative stress testing analysis
In this study, we investigate changes in banks' capital adequacy ratio (CAR) under different stress scenarios and examine the results by comparing conventional banks to participation banks in Turkey. Our results report that the capital adequacy ratio of the banks declines substantially given th...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Elsevier
2016-06-01
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| Series: | Borsa Istanbul Review |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845015300351 |
| _version_ | 1811200627761479680 |
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| author | M. Kabir Hassan Omer Unsal Hikmet Emre Tamer |
| author_facet | M. Kabir Hassan Omer Unsal Hikmet Emre Tamer |
| author_sort | M. Kabir Hassan |
| collection | DOAJ |
| description | In this study, we investigate changes in banks' capital adequacy ratio (CAR) under different stress scenarios and examine the results by comparing conventional banks to participation banks in Turkey. Our results report that the capital adequacy ratio of the banks declines substantially given the stress scenarios. We find that participation banks in Turkey suffer more in declined capital adequacy ratio compared to conventional banks. Our findings reveal that participation banks in Turkey are more sensitive to sudden changes in exchange rates and increased non-performing loans. However, this sensitivity is in regards to capital adequacy, not profit. Overall, our study shows the effect of stress in the banking sector by contributing to the existing literature. |
| first_indexed | 2024-04-12T02:06:47Z |
| format | Article |
| id | doaj.art-4540e11941ee48a7a8499e779e2afc04 |
| institution | Directory Open Access Journal |
| issn | 2214-8450 |
| language | English |
| last_indexed | 2024-04-12T02:06:47Z |
| publishDate | 2016-06-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Borsa Istanbul Review |
| spelling | doaj.art-4540e11941ee48a7a8499e779e2afc042022-12-22T03:52:31ZengElsevierBorsa Istanbul Review2214-84502016-06-01162728110.1016/j.bir.2016.04.001Risk management and capital adequacy in Turkish participation and conventional banks: A comparative stress testing analysisM. Kabir Hassan0Omer Unsal1Hikmet Emre Tamer2Department of Economics and Finance, University of New Orleans, 2000 Lakeshore Dr. New Orleans, LA, 70148, United StatesDepartment of Economics and Finance, University of New Orleans, 2000 Lakeshore Dr. New Orleans, LA, 70148, United StatesTurkiye Finans Participation Bank, TurkeyIn this study, we investigate changes in banks' capital adequacy ratio (CAR) under different stress scenarios and examine the results by comparing conventional banks to participation banks in Turkey. Our results report that the capital adequacy ratio of the banks declines substantially given the stress scenarios. We find that participation banks in Turkey suffer more in declined capital adequacy ratio compared to conventional banks. Our findings reveal that participation banks in Turkey are more sensitive to sudden changes in exchange rates and increased non-performing loans. However, this sensitivity is in regards to capital adequacy, not profit. Overall, our study shows the effect of stress in the banking sector by contributing to the existing literature.http://www.sciencedirect.com/science/article/pii/S2214845015300351Islamic banksBasel ICredit riskMarket riskOperational riskStress testingScenario analysisBasel ICapital adequacyTurkey |
| spellingShingle | M. Kabir Hassan Omer Unsal Hikmet Emre Tamer Risk management and capital adequacy in Turkish participation and conventional banks: A comparative stress testing analysis Borsa Istanbul Review Islamic banks Basel I Credit risk Market risk Operational risk Stress testing Scenario analysis Basel I Capital adequacy Turkey |
| title | Risk management and capital adequacy in Turkish participation and conventional banks: A comparative stress testing analysis |
| title_full | Risk management and capital adequacy in Turkish participation and conventional banks: A comparative stress testing analysis |
| title_fullStr | Risk management and capital adequacy in Turkish participation and conventional banks: A comparative stress testing analysis |
| title_full_unstemmed | Risk management and capital adequacy in Turkish participation and conventional banks: A comparative stress testing analysis |
| title_short | Risk management and capital adequacy in Turkish participation and conventional banks: A comparative stress testing analysis |
| title_sort | risk management and capital adequacy in turkish participation and conventional banks a comparative stress testing analysis |
| topic | Islamic banks Basel I Credit risk Market risk Operational risk Stress testing Scenario analysis Basel I Capital adequacy Turkey |
| url | http://www.sciencedirect.com/science/article/pii/S2214845015300351 |
| work_keys_str_mv | AT mkabirhassan riskmanagementandcapitaladequacyinturkishparticipationandconventionalbanksacomparativestresstestinganalysis AT omerunsal riskmanagementandcapitaladequacyinturkishparticipationandconventionalbanksacomparativestresstestinganalysis AT hikmetemretamer riskmanagementandcapitaladequacyinturkishparticipationandconventionalbanksacomparativestresstestinganalysis |