possible effects of basel iii accord on turkish banking system petek çölgezen 109673013 i̇stanbul

138 Pages·2013·2.45 MB·English

POSSIBLE EFFECTS OF BASEL III ACCORD
ON TURKISH BANKING SYSTEM

PETEK ÇÖLGEZEN
109673013

İSTANBUL BİLGİ ÜNİVERSİTESİ
SOSYAL BİLİMLER ENSTİTÜSÜ
BANKACILIK VE FİNANS YÜKSEK LİSANS PROGRAMI

KENAN TATA
2013
Possible Effects of Basel III Accord
on Turkish Banking System
Basel III Uzlaşısının Türk Bankacılık Sistemine
Olası Etkileri

Petek Çölgezen
109673013

Öğr. Gör. Kenan Tata :
Prof. Dr. Oral Erdoğan :
Öğr. Gör. Okan Aybar :

Tezin Onaylandığı Tarih : 23.01.2013

Toplam Sayfa Sayısı : 128

Anahtar Kelimeler (Türkçe) Anahtar Kelimeler (İngilizce)
1) Sermaye Yeterliliği 1) Capital Adequacy
2) Denetimsel Gözden Geçirme 2) Supervisory Review
3) Piyasa Disiplini 3) Market Discipline
4) Kaldıraç Oranı 4) Leverage Ratio
5) Likidite Oranı 5) Liquidity Ratio
ii
ÖZET
Bu tez Basel Komitesinin Basel I ve Basel II uzlaşılarında görülen
eksiklikleri gidermek için Basel III Uzlaşısı adı altında getirdiği yeni
düzenlemelere, uygulanmış olan uzlaşıların Türkiye ve bütün dünyada
yarattığı pozitif ve negatif etkilere ve henüz uygulanmamış olan Basel III
Uzlaşısının olası etkilerine değinmek amacıyla hazırlanmıştır. Bu amaçla
akademik araştırma yapılarak Basel I, Basel II, Basel 2.5 ve Basel III
uzlaşılarının temel kuralları ve hedefleri ayrıntılı bir biçimde incelenmiştir.
Daha sonra Basel uzlaşılarının Türkiye’deki etkilerine yer verilmiştir. Buna
ek olarak diğer ülke bankalarıyla yapılan karşılaştırmalarla Türk bankacılık
sisteminin genel görünümüne değinilmiştir. Tartışma metodu kullanılarak
2008 finansal krizi ve Basel II Uzlaşısı arasındaki bağlantıya, kredi
derecelendirme kuruluşlarına dair eleştirilere, kredi temerrüt swaplarının
önemine ve Basel III Uzlaşısına dair çeşitli öngörülere yer verilerek çalışma
sonlandırılmıştır. Sonuç olarak Basel Komitesi tarafından yapılan
düzenlemelerin, yüksek sermaye yeterliliğine sahip Türk bankacılık
sektöründe herhangi bir soruna yol açmayacağı, aksine Basel uzlaşılarının
Türkiye’deki finansal istikrara ve risk yönetimine önemli katkıları olacağı
kanısına varılmıştır.

iii
ABSTRACT
The purpose of the study is to address Basel III Accord which
contains new regulations done by the Basel Committee to overcome the
shortcomings of Basel I and Basel II, the positive and negative effects of the
regulations applied in Turkey and all over the world and the possible effects
of Basel III Accord which has not been applied yet. With this aim, while
doing an academic research fundamentals and goals of Basel I, Basel II,
Basel 2.5 and Basel III accords are analyzed in detail. After that, it is
mentioned the effects of Basel accords in Turkey. Moreover, Turkish
banking system’s general overview is placed while comparing with the
other countries’ banks. By using discussion method and giving place to the
relation between the 2008 financial crisis and Basel II Accord, the criticisms
about the credit rating agencies, the importance of credit default swaps and
various predictions about Basel III Accord, the study is finalized. As a
conclusion, regulations which are made by the Basel Committee will not
cause any problems thanks to the Turkish banking sector’s high capital
adequacy structure and Basel accords will have significant contributions to
the financial stability and risk management.

iv
TABLE OF CONTENTS

1. INTRODUCTION .................................................................................. 1
2. BASEL ACCORDS ............................................................................... 4
2.1 Basel I Accord and its Basic Principles .......................................... 4
2.1.1 Positive and Negative Views about Basel I ............................. 7
2.2 Basel II Accord ............................................................................... 9
2.2.1 Transition to Basel II and Differences between Basel I and
Basel II........... ........................................................................................ 9
2.2.2 Basel II and its Basic Principles ............................................ 10
2.2.2.1 Pillar I: Minimum Capital Requirements ........................... 15
2.2.2.1.1 Credit Risk .................................................................... 17
2.2.2.1.2 Operational Risk ........................................................... 24
2.2.2.1.3 Market Risk .................................................................. 28
2.2.2.2 Pillar II: Supervisory Review Process ............................... 30
2.2.2.2.1 First Principle of Pillar II.............................................. 31
2.2.2.2.2 Second Principle of Pillar II ......................................... 32
2.2.2.2.3 Third Principle of Pillar II ............................................ 32
2.2.2.2.4 Fourth Principle of Pillar II .......................................... 33
2.2.2.3 Pillar III: Market Discipline ............................................... 35
2.2.3 Positive and Negative Views about Basel II ......................... 38
2.3 Basel 2.5 Accord ........................................................................... 46
2.3.1 Pillar I .................................................................................... 47
2.3.2 Pillar II ................................................................................... 48
2.3.3 Pillar III .................................................................................. 49
2.3.4 Criticisms about Basel 2.5 ..................................................... 49
v
2.4 Basel III Accord ............................................................................ 50
2.4.1 Transition Process to Basel III ............................................... 50
2.4.2 Basic Principles of Basel III .................................................. 52
2.4.2.1 Better Quality Capital ........................................................ 54
2.4.2.2 More Capital ...................................................................... 55
2.4.2.3 Leverage Ratio ................................................................... 58
2.4.2.4 Liquidity Ratio ................................................................... 58
2.4.3 Positive and Negative Views about Basel III ........................ 59
3. TURKISH BANKING SYSTEM AND BASEL ACCORDS ............. 65
3.1 Basel I and Turkey ........................................................................ 65
3.2 Basel II and Turkey ....................................................................... 66
3.2.1 Problems Encountered by Turkey in the Process of
Preparation for Basel-II ........................................................................ 72
3.2.2 Comparison of QIS-TR3 Results with QIS-TR2 Results ...... 74
3.2.3 Progress of Basel II in Turkey ............................................... 77
3.2.4 Implementation of Basel II in Turkey ................................... 81
3.3 Basel 2.5 and Turkey .................................................................... 82
3.4 Basel III and Turkey ..................................................................... 83
4. GENERAL VIEW OF TURKISH BANKING SYSTEM ................... 86
4.1 Balance Sheet Sizes ...................................................................... 87
4.2 Credits ........................................................................................... 90
4.3 Deposits ......................................................................................... 92
4.4 Capital Adequacy and Equity ....................................................... 93
4.5 Liquidity Adequacy ...................................................................... 96
4.6 Portfolio Investment Liabilities in Turkey .................................... 97
5. DISCUSSION ...................................................................................... 99
5.1 Basel I Accord and Necessity for Basel II Accord ....................... 99
5.2 Reasons of the Global Financial Crisis ....................................... 100
vi
5.2.1 Global Financial Crisis and Basel II Accord ....................... 103
5.2.1.1 Quality and Quantity of Banks’ Capital Suggested by Basel
II Accord ......................................................................................... 104
5.2.1.2 Relation Between Fair-Value Accounting and
Implementation of Basel II Accord ................................................ 104
5.2.1.3 Pro-Cyclicality of Basel II Accord .................................. 105
5.2.1.4 Independency of Rating Agencies ................................... 105
5.2.1.5 Banks’ Internal Measurement Models ............................. 106
5.2.1.6 Regulatory Arbitrage ....................................................... 106
5.3 Post Financial Crisis Situation in the World ............................... 107
5.3.1 Balance Sheet Reduction Operations of International Banks
and its Effects on Developing Countries ............................................ 109
5.4 Credit Rating Agencies ............................................................... 110
5.4.1 Credit Default Swaps and Credit Ratings ............................ 112
5.5 Predictions Related to Basel III Accord ...................................... 114
6. CONCLUSION .................................................................................. 118
7. REFERENCES ................................................................................... 121

vii
LIST OF TABLES

Table 2.1 Calculation Methods for Different Risk Categories .................... 16
Table 2.2 Risk Weights Used in the Standardized Approach ...................... 18
Table 2.3 Risk Weights for the Loans Given to the Banks ......................... 20
Table 2.4 Risk Weights for the Loans Given to the Corporations............... 21
Table 2.5 Capital Differentiation and its Ingredients .................................. 55
Table 2.6 Changes in the Capital Requirements .......................................... 57
Table 3.1 Portfolios' Contribution to the Risk Weighted Assets ................. 74
Table 3.2 Changes of Portfolios in the Risk Weighted Assets .................... 77
Table 3.3 Necessary Time for Turkish Banks to Use Advanced Methos .... 79
Table 3.4 Equity Items of Turkey ................................................................ 83
Table 4.1 Turkish Banking Sector Balance Sheet Sizes (2000-2009) ......... 88
Table 4.2 Return on Assets and Equity ....................................................... 88
Table 4.3 Asset Sizes of EU and Turkish Banking System ......................... 89
Table 4.4 Credit Stocks of EU and Turkey.................................................. 91
Table 4.5 Assets of EU and Turkish Banking System and Deposits to Assets
Ratio ............................................................................................................. 93
Table 5.1 Comparison of Basel I and Basel II ........................................... 100
Table 5.2 Strengthened Capital Framework: Basel II to Basel III ............ 115

viii
LIST OF CHARTS

Chart 4.1 Turkish Banking Sector Growth (Billion TL,%) ......................... 90
Chart 4.2 Increase in the Non-Refundable Credits ...................................... 91
Chart 4.3 Credit Growth / GDP (%) ............................................................ 92
Chart 4.4 Capital Adequacy Ratio - Turkey (%) ......................................... 94
Chart 4.5 Equity to Assets Ratio - Turkey (%) ............................................ 94
Chart 4.6 Country Based CAR and Equity to Assets Ratio (%) .................. 95
Chart 4.7 Liquidity Adequacy Ratio - Turkey ............................................. 97
Chart 4.8 Porfolio Investment Liabilities in Turkey .................................... 98
Chart 5.1 Annual Growth Rates of Chosen Countries (%) ........................ 108
Chart 5.2 Annual CDS Spreads (2012) ..................................................... 112
Chart 5.3 CDS Spreads Trend of Chosen Countries.................................. 113

ix
LIST OF ABBREVIATIONS
ADC : ASSETS DEDUCTED FROM CAPITAL
BIS : BANK FOR INTERNATIONAL SETTLEMENTS
BRSA : BANKING REGULATION AND SUPERVISION AGENCY
CAR : CAPITAL ADEQUACY RATIO
CBRT : CENTRAL BANK OF THE REPUBLIC OF TURKEY
CDO : COLLATERALIZED DEBT OBLIGATION
CDS : CREDIT DEFAULT SWAP
CRM : CREDIT RISK MITIGATION
EAD : EXPOSURE AT DEFAULT
ECAI : EXTERNAL CREDIT ASSESMENT INSTITUTIONS
ECB : EUROPEAN CENTRAL BANK
EU : EUROPIAN UNION
GDP : GROSS DOMESTIC PRODUCT
IMF : INTERNATIONAL MONETARY FUND
IOSCO : INTERNATIONAL OF SECURITIES COMMISSIONS
IRB : INTERNAL RATINGS BASED
IRC : INCREMENTAL RISK CHARGE
LGD : LOSS GIVEN DEFAULT
NSFR : NET STABLE FUNDING RATIO
OECD : ORGANIZATION FOR ECONOMIC COOPERATION AND
DEVELOPMENT
OTC : OVER THE COUNTER
PD : PROBABILITY OF DEFAULT
QIS : QUANTITATIVE IMPACT STUDY
RAV : RISK ASSESSMENT VALUE
SA : STANDARDIZED APPROACH
SME : SMALL AND MEDIUM ENTERPRISE
SSA : SIMPLIFIED STANDARDIZED APPROACH
VAR : VALUE AT RISK
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