An Analysis on Bank Credit Risk Information in the Period of COVID-19

Esra Aksoy; Mehmet Gençtürk

Makale detayları

An Analysis on Bank Credit Risk Information in the Period of COVID-19

Yazarlar:

Esra Aksoy | Mehmet Gençtürk

Yayıncı:

Afyon Kocatepe University

Ana Başlıklar:

Bankacılıkta Risk Yönetimi

Dergi:

Afyon Kocatepe Üniversitesi Sosyal Bilimler Dergisi Vol.26 Issue 1, pp.194-206

Belge Tipi:

Makale

Yayın Tarihi:

4/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001313577

pISSN:

1302-1265

Anahtar kelimeler:

Özet:

 The COVID-19 pandemic has had a global impact in many countries. The effect of the epidemic, negative changes have been experienced, especially in the economic and social fields. The banking sector, which is the most important branch of the financial system in Türkiye, was also affected by the epidemic. The banking sector has taken some measures in order to continue its activities safely in the environment of negative effects and uncertainty of the epidemic period. These measures have helped to better manage the risky process caused by the effect of the epidemic and to overcome it with the least damage. One of the biggest problems faced by banks during the pandemic period has been credit risk. The aim of the study is to examine the credit risks that banks face most during the pandemic period. In the study, the cash loans and non-performing loans, which are notified to the Risk Center of the Banks Association of Türkiye by the banks, are estimated for future periods. In the analysis, the grey prediction model GM 1,1 was preferred. Quarterly data for the period 202002-202112 was used for the analysis. GM 1,1 models were established by the data and simulation values were calculated. The relative error margins of the established models were calculated as 3.42 and 1.49, respectively. For the next two quarters, estimation data on banks cash loans and non-performing loans are obtained. As a result, predictions were made about the credit risks of banks with the findings obtained. It is expected that the results obtained from this study will contribute to the policies that banks will implement.

 The COVID-19 pandemic has had a global impact in many countries. The effect of the epidemic, negative changes have been experienced, especially in the economic and social fields. The banking sector, which is the most important branch of the financial system in Türkiye, was also affected by the epidemic. The banking sector has taken some measures in order to continue its activities safely in the environment of negative effects and uncertainty of the epidemic period. These measures have helped to better manage the risky process caused by the effect of the epidemic and to overcome it with the least damage. One of the biggest problems faced by banks during the pandemic period has been credit risk. The aim of the study is to examine the credit risks that banks face most during the pandemic period. In the study, the cash loans and non-performing loans, which are notified to the Risk Center of the Banks Association of Türkiye by the banks, are estimated for future periods. In the analysis, the grey prediction model GM 1,1 was preferred. Quarterly data for the period 202002-202112 was used for the analysis. GM 1,1 models were established by the data and simulation values were calculated. The relative error margins of the established models were calculated as 3.42 and 1.49, respectively. For the next two quarters, estimation data on banks cash loans and non-performing loans are obtained. As a result, predictions were made about the credit risks of banks with the findings obtained. It is expected that the results obtained from this study will contribute to the policies that banks will implement.

 The COVID-19 pandemic has had a global impact in many countries. The effect of the epidemic, negative changes have been experienced, especially in the economic and social fields. The banking sector, which is the most important branch of the financial system in Türkiye, was also affected by the epidemic. The banking sector has taken some measures in order to continue its activities safely in the environment of negative effects and uncertainty of the epidemic period. These measures have helped to better manage the risky process caused by the effect of the epidemic and to overcome it with the least damage. One of the biggest problems faced by banks during the pandemic period has been credit risk. The aim of the study is to examine the credit risks that banks face most during the pandemic period. In the study, the cash loans and non-performing loans, which are notified to the Risk Center of the Banks Association of Türkiye by the banks, are estimated for future periods. In the analysis, the grey prediction model GM 1,1 was preferred. Quarterly data for the period 202002-202112 was used for the analysis. GM 1,1 models were established by the data and simulation values were calculated. The relative error margins of the established models were calculated as 3.42 and 1.49, respectively. For the next two quarters, estimation data on banks cash loans and non-performing loans are obtained. As a result, predictions were made about the credit risks of banks with the findings obtained. It is expected that the results obtained from this study will contribute to the policies that banks will implement.

 COVID-19 salgını birçok ülkede küresel boyutta etkisini göstermiştir. Salgının etkisi ile özellikle ekonomik ve sosyal alanlarda olumsuz değişimler yaşamıştır. Türkiyede finansal sistemin en önemli dalı olan bankacılık sektörü salgın döneminde oldukça etkilenmiştir. Bankacılık sektörü salgın döneminin olumsuz etkileri ve belirsizlik ortamında güvenli bir şekilde faaliyetlerine devam edebilmek için birtakım önlemler almıştır. Bu önlemler salgının etkisi ile oluşan riskli süreci daha iyi yönetmeye ve en az zararla atlatmaya yardımcı olmuştur. Pandemi döneminde bankaların karşılaştığı en büyük problemlerden biri ise kredi riski olmuştur. Bu bağlamda çalışmanın amacı ise pandemi döneminde bankaların en çok karşılaştığı kredi risklerini incelemektir. Çalışmada bankalar tarafından Türkiye Bankalar Birliği Risk Merkezine bildirimi yapılan nakdi kredilerin ve tasfiye olunacak alacakların, gelecek dönemler için tahminleri yapılmıştır. Analizde gri sistem teorisi içinde yer alan gri tahmin modeli GM 1,1 tercih edilmiştir. Analiz için 202002-202112 dönemine ait çeyrek dönemlik veriler kullanılmıştır. Veriler ile GM 1,1 modelleri kurulmuştur ve simülasyon değerleri hesaplanmıştır. Kurulan modellerin göreli hata payları sırası ile 3,42 ve 1,49 olarak hesaplanmıştır. Ardından gelecek iki çeyrek dönem için bankaların nakdi kredileri ve tasfiye olunacak alacaklar tahmin verileri elde edilmiştir. Sonuç olarak elde edilen bulgularla bankaların kredi riskleri hakkında öngörüde bulunulmuştur. Bu çalışmadan elde edilen sonuçların bankaların uygulayacakları politikalara katkı sağlaması beklenmektedir.

Makale detayları

An Analysis on Bank Credit Risk Information in the Period of COVID-19

Yazarlar:

Esra Aksoy | Mehmet Gençtürk

Yayıncı:

Afyon Kocatepe University

Ana Başlıklar:

Bankacılıkta Risk Yönetimi

Dergi:

Afyon Kocatepe Üniversitesi Sosyal Bilimler Dergisi Vol.26 Issue 1, pp.194-206

Belge Tipi:

Makale

Yayın Tarihi:

4/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001313577

pISSN:

1302-1265

Credit risk

COVID-19

forecasting

grey theoryKredi riski

COVID-19

tahmin

gri teori

Sayı

Makale detayları

Yazarlar: Esra Aksoy | Mehmet Gençtürk

Yayıncı: Afyon Kocatepe University

Ana Başlıklar: Bankacılıkta Risk Yönetimi

Dergi: Afyon Kocatepe Üniversitesi Sosyal Bilimler Dergisi Vol.26 Issue 1, pp.194-206

Belge Tipi: Makale

Yayın Tarihi: 4/2024

Belge Dili: Türkçe

Document ID (Org No.): 2001313577

pISSN: 1302-1265

Sayı

Yazarlar:

Esra Aksoy | Mehmet Gençtürk

Yayıncı:

Afyon Kocatepe University

Ana Başlıklar:

Bankacılıkta Risk Yönetimi

Dergi:

Afyon Kocatepe Üniversitesi Sosyal Bilimler Dergisi Vol.26 Issue 1, pp.194-206

Belge Tipi:

Makale

Yayın Tarihi:

4/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001313577

pISSN:

1302-1265