This paper examines the systemic risk of financial firms in Turkey. Using Component Expected Shortfall, we provide estimates of systemic risk in Turkey using daily data from 2005 to 2018 and a comprehensive data set encompassing 54 financial firms. Empirical results show that the preponderance of systemic risk in the sample in Turkey is due to large commercial banks. Top ten systemically important financial institutions dominate systemic risk measures in Turkey and account for more than 90 % of total risk over the sample. Consequently, the risk in the Turkish financial system is concentrated in specific financial institutions and makes close monitoring of the top firms essential. Historical incidence of systemic risk in the sample shows elevated levels of systemic risk correspond to well-known external events. Finally, a bivariate VAR model shows that systemic risk is correlated with measures of global financial risks and has significant negative effects on the real economy particularly on industrial production. This is important from a financial stability point of view in that close monitoring of the systemic risk is important in maintaining a healthy financial system and a well- functioning market economy.

本文研究了土耳其金融公司的系统性风险。使用预期的不足部分，我们使用2005年至2018年的每日数据以及涵盖54家金融公司的综合数据集，对土耳其的系统性风险进行了估算。实证结果表明，土耳其样本中的系统性风险主要归因于大型商业银行。在土耳其，排名前十的具有系统重要性的金融机构主导着系统性风险衡量，占样本总数的90％以上。因此，土耳其金融体系中的风险集中在特定的金融机构中，因此必须密切监视顶级公司。样本中系统性风险的历史发生率表明，系统性风险的升高与已知的外部事件相对应。最后，一个双变量VAR模型表明，系统性风险与全球金融风险的度量相关，并且对实体经济特别是对工业生产具有显着的负面影响。从金融稳定的角度来看，这一点很重要，因为对系统性风险的密切监控对于维持健康的金融体系和运作良好的市场经济很重要。