Publication: Basel II kriterleri çerçevesinde Türk bankacılık sektöründeki sermaye yeterliliği sorununun incelenmesi
Abstract
Bu tezde, Basel Komitesi’nin Haziran 2004 tarihinde son halini alan Yeni Sermaye Uzlaşısı çerçevesinde sermaye yeterliliği ile ilgili prensip ve öneriler sunularak Türk bankacılık sistemi üzerindeki muhtemel etkisi üzerinde durulmaktadır. Bu çalışmada, öncelikle Türk bankacılık sistemindeki kriz sonrası gelişmelere, konsolidasyon sürecine ve olumlu seyreden sektörel göstergelere yer verilmiştir. Basel I sermaye yeterliliği düzenlemesinin öncelikli amacı bankaların taşıdıkları riskle orantılı asgari sermaye tutarlarını hesaplayarak iflası ve dolayısıyla mudilerin katlanacağı olası maliyeti azaltmaktı. Ancak mevcut uygulamanın her geçen gün karmaşıklaşan finansal piyasalarda maruz kalınan riskleri ölçmekte yetersiz kalması, piyasa ve kredi riski dışındaki diğer riskleri içermemesi, OECD “kulüp kuralı” ve her firma için kredi geri ödeme gücü / kabiliyetinden bağımsız olarak %100 oranının belirlenmesi başlıca eleştiri konularıydı. Bu eleştirileri göz önünde bulunduran Basel Komitesi bankacılık sektör temsilcilerinin de aktif katılımıyla mutabakata varılan Yeni Sermaye Uzlaşısında Asgari Sermaye Gereksinimi, Denetim Otoritesinin İncelemesi ve Piyasa Disiplini’nden oluşan “Üçlü Yapısal Blok” yaklaşımını oluşturmuştur. Bu çalışmada özellikle Asgari Sermaye Gereksinimi – Kredi Riski ile ilgili prensipler ile Standart ve İDD yaklaşımları üzerinde ayrıntılı olarak durulmuş, BDDK’nın bu prensipler konusundaki muhtemel görüş ve düzenlemeleri hakkında bilgiler sunularak Uzlaşının genel etkileri ve Türkiye üzerindeki muhtemel etkilerine değinilmiştir. Her ne kadar Basel II’nin Türk bankacılık sistemi üzerindeki muhtemel etkilerini inceleyen sayısal etki ile diğer öncü çalışmalar ek sermaye gereksiniminin sınırlı olacağını öngörse de özellikle son dönemde aktif yapısında kamu borçlanma kağıtlarından kredi portföyüne kayma ve son dönemde sermaye açısından güçlü yabancı bankaların Türk bankacılık sistemindeki etkinliğinin satın almalar yoluyla artması ve konsolidasyon süreci karşı görüşü destekler niteliktedir.
The purpose of this thesis is to present the new capital adequacy principles and suggestions envisaged in the New Capital Accord dated June 2004, provided by Basel Committee and to explore the possible effects on Turkish banking system. This study will commence with a brief introduction in post-crisis developments in the Turkish banking system including the consolidation in the sector and the sectoral indicators. The main purpose of the existing, Basel I Accord, was to minimize bank failure and possible costs to be born by depositors by computing minimum capital requirements commensurate with the risks taken by the banks. However, the main criticism about the current application was that it was inadequate in measuring the ever changing risks as the financial markets became more complex everyday, OECD “club rule”, the same credit weighting of 100% for every credit independent of the ability & capability of the obligor avoidance of risks other than market and credit risk. Upon these criticisms, Basel Committee presented a New Capital Accord consisting of “Three Pillars”; Minimum Capital Requirements, Supervisory Review Process and Market Discipline, with the active contribution and concurrence of the sector representatives. In this study, Minimum Capital Requirements- Credit Risk principles has been thoroughly analyzed in light of the Standard and Internal Ratings Based approaches. Turkey’s Banking Regulatory and Supervisory Authority’s comments and possible applications regarding the principles are also presented with the aim of seeking the New Accord’s general effects and possible effects on Turkey. Although Quantitative Impact Study and other preliminary researches indicate that the Basel II will have limited effect on the capital adequacy of the Turkish banking system, the recent shift towards the credit portfolio from the T-Bill portfolio in the composition of the assets and the recent increase in the relatively well capitalized foreign bank’s share via mergers & acquisitions coupled with the consolidation in the sector support the counter argument.
The purpose of this thesis is to present the new capital adequacy principles and suggestions envisaged in the New Capital Accord dated June 2004, provided by Basel Committee and to explore the possible effects on Turkish banking system. This study will commence with a brief introduction in post-crisis developments in the Turkish banking system including the consolidation in the sector and the sectoral indicators. The main purpose of the existing, Basel I Accord, was to minimize bank failure and possible costs to be born by depositors by computing minimum capital requirements commensurate with the risks taken by the banks. However, the main criticism about the current application was that it was inadequate in measuring the ever changing risks as the financial markets became more complex everyday, OECD “club rule”, the same credit weighting of 100% for every credit independent of the ability & capability of the obligor avoidance of risks other than market and credit risk. Upon these criticisms, Basel Committee presented a New Capital Accord consisting of “Three Pillars”; Minimum Capital Requirements, Supervisory Review Process and Market Discipline, with the active contribution and concurrence of the sector representatives. In this study, Minimum Capital Requirements- Credit Risk principles has been thoroughly analyzed in light of the Standard and Internal Ratings Based approaches. Turkey’s Banking Regulatory and Supervisory Authority’s comments and possible applications regarding the principles are also presented with the aim of seeking the New Accord’s general effects and possible effects on Turkey. Although Quantitative Impact Study and other preliminary researches indicate that the Basel II will have limited effect on the capital adequacy of the Turkish banking system, the recent shift towards the credit portfolio from the T-Bill portfolio in the composition of the assets and the recent increase in the relatively well capitalized foreign bank’s share via mergers & acquisitions coupled with the consolidation in the sector support the counter argument.