The existence of the credit derivatives written on the eurobonds such as credit default swaps or asset swaps allows policymakers and investors to monitor the evolvement of credit risk. However, these instruments are mostly available in advanced economies, whereas the market for credit derivatives in emerging market countries, including Turkey, is limited in terms of liquidity and maturity. In this regard, this study aims to construct a proxy for the credit risk of the Turkish Treasury and banking sector in international markets by calculating asset swap spread for US dollar-denominated fixed coupon eurobonds, which requires a robust estimation of the relevant yield curves. The study firstly presents the estimation of the sovereign and banking sector yield curves and then constructs a synthetic asset swap structure to obtain embedded credit risk premia in the eurobond curves. Our findings show that the proposed credit risk indicator is vastly correlated with credit default swap premium. In addition to this, estimated eurobond curves are also useful for monitoring borrowing cost dynamics of the Turkish Treasury and banking sector in international markets.

信用违约掉期或资产掉期等欧元债券上的信用衍生品的存在使政策制定者和投资者能够监控信用风险的演变。然而，这些工具大多在发达经济体可用，而包括土耳其在内的新兴市场国家的信用衍生品市场在流动性和期限方面有限。在这方面，本研究旨在通过计算以美元计价的固定息票欧元债券的资产互换利差，构建土耳其财政部和银行业在国际市场上的信用风险代理，这需要对相关收益率曲线进行稳健估计。该研究首先介绍了主权和银行业收益率曲线的估计，然后构建了一个合成资产互换结构，以获得欧元债券曲线中的嵌入信用风险溢价。我们的研究结果表明，拟议的信用风险指标与信用违约掉期溢价密切相关。除此之外，估计的欧元债券曲线也可用于监控国际市场上土耳其财政部和银行业的借贷成本动态。