Publication: Risk management in banking sector and its applicability in Turkish context
Abstract
Bu çalışmanın amacı banka risk yönetimi konusunu etraflıca incelemektir. Bu amaçla, önce riskin tanımı yapılmış, risk tipleri incelenmiş ve risk yönetimi kavramı tanıtılmıştır. Daha sonra bankaların risk yönetimi faaliyetlerine artan ilgisinin ardında yatan nedenler incelenmiştir. Ekonomik ve finansal çevredeki değişimler; ekonomik, finansal ve bankacılık krizlerinin artan sıklığı; ve birçok ünlü şirketin yetersiz risk yönetimi faaliyetleri nedeniyle başarısızlığa uğramasının bu sürece katkıda bulunduğu gözlenmiştir. Ek olarak, sistemik risk konusuyla ilgilenen düzenleyici otoritelerin sıkılaşan yükümlülükleri de bankaları risk yönetim faaliyetlerine daha çok önem vermeye itmiştir. Söz konusu düzenlemelerin bankaların sermaye tabanının aldıkları tüm risklerin bir fonksiyonu olması gerektiği anlayışıyla yapıldığı gözlenmektedir. Diğer bir ifadeyle daha çok risk alan bankalar daha yüksek sermaye tutmalıdır. Bu yaklaşım nihai özkaynak riskine yol açan etmenin bütün risklerinin kombinasyonu olduğu gerçeğiyle tutarlıdır. Daha sonra bankaların risk yönetimi amacıyla kullandıkları temel teknikler incelenmiştir. Aktif Pasif Yönetimi (APY) likidite ve faiz riskine yoğunlaşır. Türev ürünler taşınan pozisyonların riskinin nötralize edilmesi için kullanılabilir. Ancak, risk yönetimi alanında Riske Maruz Değer (VaR) yeni referans haline gelmiştir. VaR belli bir güven aralığında ve belli bir zaman ufku içinde beklenebilecek azami zararı özetleyen bir rakamdır. VaR hesabı için birçok değişik yöntem vardır. Düzenleyici otoriteler VaR ve standart metodu piyasa riskinin ölçümü için iki alternatif yöntem olarak kabul etmiştir. Tezin son bölümünde varsayımsal bir portföy oluşturulmuş ve bu portföy üzerinden VaR yöntemi gerçek hayat verilerine uygulanmıştır. Daha sonra bu portföy için sermaye gereği hem VaR, hem de standart metot yöntemleriyle hesaplanmıştır. Yapılan hesaplama sonucunda finansal çevrenin ve piyasa parametrelerinin çok oynak ve belirsizliğin yüksek olduğu Türkiye gibi gelişmekte olan bir ülkede, standart metodun alınan riski ve ayrılması gereken sermaye gereğini eksik ölçebildiği gözlenmiştir. Öte yandan, VaR metodu ise, VaR rakamının ve sermaye gereğinin hesabında piyasa parametrelerindeki oynaklığı hesaplamada doğrudan veri olarak kullanması nedeniyle ortamın gerçek riskliliğine karşı duyarlıdır. Portföyü oluşturan her pozisyon için yapılan kısmi VaR hesaplamaları, incelenen dönemde portföy içinde görece en yüksek riskli varlıkların kur riskine tabi olan varlıklar olduğunu göstermiştir.
The aim of this study is to examine bank risk management issue thoroughly. For this aim, first the definition of risk is given, types of risk are examined and the concept of risk management is introduced. Then, the reasons lying behind the rising interest of banks in risk management activities are examined. Changes in the economic and financial environment; rising frequency of economic, financial and banking crises; and failures of many famous companies due to inadequate risk management activities are observed to all contribute to this process. In addition, the tightening requirements of regulatory authorities, caring on the systemic risk, have also pushed banks to emphasize more on risk management activities. It is observed that the regulations are arranged such that banks' capital base should be a function of all the risks they take, meaning that banks taking higher risk, should keep higher capital. This approach is consistent with the fact that it is the combination of all risks that leads eventually to solvency risk for a bank. Then, the main techniques banks use for risk management purposes are covered. Asset and Liability Management (ALM) concentrates on liquidity and interest rate risks. Derivatives can be used for hedging, that is, neutralizing the risks of positions that are carried. However, the new benchmark in the area of risk management has become Value at Risk (VaR). VaR is a figure, that summarizes the expected maximum loss over a target horizon within a given confidence interval. There are various approaches to computing VaR. Regulatory authorities accept VaR and the standard method as two alternative methods for measuring market risk. In the final section of the thesis, a hypothetical portfolio is constructed by using which the VaR methodology is applied to real world data. Then, the capital requirement for this portfolio is calculated both via VaR and via the standard method. It is observed that, especially in a developing country like Turkey, where the financial environment and market parameters are very volatile, and uncertainty is high, the standard method may underestimate the magnitude of the risks taken, and hence the capital that should be allocated. The VaR methodology, on the other hand, directly uses the volatility of the market parameters as input in the computation of the VaR figure, and hence of the capital requirement, and is sensitive to the actual riskiness of the environment. The computation of incremental VaR figures for each position showed that for the period analyzed, among the instruments in the portfolio, the most risky assets were those that were exposed to currency risk.
The aim of this study is to examine bank risk management issue thoroughly. For this aim, first the definition of risk is given, types of risk are examined and the concept of risk management is introduced. Then, the reasons lying behind the rising interest of banks in risk management activities are examined. Changes in the economic and financial environment; rising frequency of economic, financial and banking crises; and failures of many famous companies due to inadequate risk management activities are observed to all contribute to this process. In addition, the tightening requirements of regulatory authorities, caring on the systemic risk, have also pushed banks to emphasize more on risk management activities. It is observed that the regulations are arranged such that banks' capital base should be a function of all the risks they take, meaning that banks taking higher risk, should keep higher capital. This approach is consistent with the fact that it is the combination of all risks that leads eventually to solvency risk for a bank. Then, the main techniques banks use for risk management purposes are covered. Asset and Liability Management (ALM) concentrates on liquidity and interest rate risks. Derivatives can be used for hedging, that is, neutralizing the risks of positions that are carried. However, the new benchmark in the area of risk management has become Value at Risk (VaR). VaR is a figure, that summarizes the expected maximum loss over a target horizon within a given confidence interval. There are various approaches to computing VaR. Regulatory authorities accept VaR and the standard method as two alternative methods for measuring market risk. In the final section of the thesis, a hypothetical portfolio is constructed by using which the VaR methodology is applied to real world data. Then, the capital requirement for this portfolio is calculated both via VaR and via the standard method. It is observed that, especially in a developing country like Turkey, where the financial environment and market parameters are very volatile, and uncertainty is high, the standard method may underestimate the magnitude of the risks taken, and hence the capital that should be allocated. The VaR methodology, on the other hand, directly uses the volatility of the market parameters as input in the computation of the VaR figure, and hence of the capital requirement, and is sensitive to the actual riskiness of the environment. The computation of incremental VaR figures for each position showed that for the period analyzed, among the instruments in the portfolio, the most risky assets were those that were exposed to currency risk.