Evidence from Turkish banks

Due to its known weaknesses Value at Risk (VaR) has been modified to have a better market risk measurement model. 2007-2008 global financial crisis has increased the necessity to incorporate market liquidity into widely used models. This is to raise the required regulatory capital for trading portfolios since large marked-to-market losses have been observed to hit the global financial system. In line with the new coming regulations, this study applies a Monte-Carlo based approach on Turkish Banks’ hypothetical trading portfolios to measure their total market risk.

11p nguyenminhlong19 21-04-2020 6 0   Download

This study examines the effects of the Central Bank of the Republic of Turkey’s foreign exchange interventions via auctions on the level and volatility of the Turkish lira/US dollar exchange rate between February 02, 2009 and January 31, 2014 with daily data. In order to study the impact of interventions on the Turkish lira, this study employs the Exponential GARCH (1,1) framework.

16p cothumenhmong4 24-03-2020 18 1   Download

This paper analyzes the firm level determinants of the financing sources composition of working capital and fixed asset investments of Turkish SMEs with a system of equations approach. Using the cross-sectional data set of 1,278 SMEs for year 2013, we find that larger firms and firms that have an internationally recognized quality certification finance a lower proportion of their working capital with internal funds. The proportion of working capital that is financed with bank loans is higher for these firms.

12p trinhthamhodang2 21-01-2020 83 0   Download