Browsing by Author "Gönül, Tuğçe Lütfiye"

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    Optimal allocation of assets of Turkish banks under basel II regulation
    (Bahçeşehir Üniversitesi Fen Bilimleri Enstitüsü, 2014-04) Gönül, Tuğçe Lütfiye; Çanakoğlu, Ethem
    In the aftermath of the crucial disturbances in global currency and banking markets, Basel II was introduced by the Basel Committee in consideration of the need for risk management in banking. Basel II has been developed in order to ensure financial stabilization and banks are required to assess capital adequacy themselves with this regulation. This thesis deals with risks in banking sector, Basel Accords in risk management and the implication of Basel II on capital requirement and risk-weighted assets to maximize expected returns of Turkish banks’ portfolio of assets under risk constraints with Basel II requirements. Banks’ risk-weighted assets which constitute the basis for Banks’ capital adequacy ratios and Banks’equity calculations return rates of each credit, distribution of maturity risk factors according to their outstanding maturities, Banks’ average rates, average maturities and liabilities are taken into consideration as constraints using Banks’ data in order to formulate optimization model. After solving the model with Excel Solver, computational results are provided for each Bank.