Publication: Kriz Sonrası Küresel Dengesizlikler Işığında Kredi Temerrüt Takası Volatilitesinin Modellenmesi
Abstract
Finansal piyasalardaki risklerden ötürü yatırım portföylerinde oluşabilecek değer kayıplarına karşılık kullanılan kredi türevleri ile birlikte finans dünyası kredi riskine odaklanmıştır. Bu enstrümanların kullanımı ile bankaların kredi riskini algılamaları, fiyatlamaları ve riskin yönetimi uygulamaları farklılık kazanmıştır. Önceden belirli sınırlara dayanarak kredi verebilen bankalar, kredi türev ürünlerinin çeşitlenmesiyle uygulamada verilen kredi sınırının ötesinde kredi verebilmektedir. Özellikle son yıllarda yaşanan mortgage krizinin tüm dünyaya yayılarak kredi krizine dönüşmesinde kredi türev ürünlerinin hatalı fiyatlanmasının etken olduğunu belirtebiliriz. Bu bağlamda kredi türev ürünlerinin risk yönetimi aracı olarak kullanımlarının önemi ile birlikte doğru fiyatlandırılmalarının gerekliliği ortaya çıkmaktadır. Kredi türev ürünleri içinde uygulamada en yaygın olarak kullanılan ürün kredi temerrüt takasıdır. Kredi temerrüt takası (KTT), kredi riskine karşı satın alınan bir finansal sigorta sözleşmesidir. Günümüzde finans dünyasında yatırım kararı alırken ilk bakılan göstergelerden biri de kredi temerrüt takas oranlarıdır. Bu çalışmada kredi temerrüt takası getirisi ve spread (TC. hazinesinin ihraç ettiği TL cinsi gösterge tahvilin getirisi ile kredi temerrüt takası getirisi arsındaki fark) serisi volatilitesi GARCH ve EGARCH ile modellenmiştir.
In the past few years the finance sector has been focused on credit risks. Credit derivatives can also be used against value loss that can arise in investment portfolios. The use of these instruments and the way banks now perceive credit risk, it’s pricing and banks’ risk management procedures have reached a different aspect. Whilst previously banks granted credits according to specific limits, with the diversification of the credit derivative products, they can now give credits going beyond the usual credit limit procedures that are in effect. We can specifically express that the mortgage crises which has spread all over the world within the past years to finally become a credit crises, is the result of the wrong pricing of credit derivative products. In this context, the importance of credit derivative products to be used as a risk management product as well as the necessity for their correct pricing has arisen. Amongst the credit derivative products, the most commonly used product is the credit default swap. Credit Default Swap (CDS), is a financial insurance contract that can be purchased against credit risk. Presently, when an investment decision is taken in the financial world, one of the first indicators taken into account is the credit default swap rates. In this study volatility of return of credit default swap and spread (benchmark bonds issued by Turkish Treasury department in TL currency) series, modeled by GARCH and EGARCH
In the past few years the finance sector has been focused on credit risks. Credit derivatives can also be used against value loss that can arise in investment portfolios. The use of these instruments and the way banks now perceive credit risk, it’s pricing and banks’ risk management procedures have reached a different aspect. Whilst previously banks granted credits according to specific limits, with the diversification of the credit derivative products, they can now give credits going beyond the usual credit limit procedures that are in effect. We can specifically express that the mortgage crises which has spread all over the world within the past years to finally become a credit crises, is the result of the wrong pricing of credit derivative products. In this context, the importance of credit derivative products to be used as a risk management product as well as the necessity for their correct pricing has arisen. Amongst the credit derivative products, the most commonly used product is the credit default swap. Credit Default Swap (CDS), is a financial insurance contract that can be purchased against credit risk. Presently, when an investment decision is taken in the financial world, one of the first indicators taken into account is the credit default swap rates. In this study volatility of return of credit default swap and spread (benchmark bonds issued by Turkish Treasury department in TL currency) series, modeled by GARCH and EGARCH