Research on Systemic Risk of the Turkish Banking Industry Based on a Systemic Risk Measurement Framework of the Fractional Brownian Motion

Since the 2008 financial crisis, it is an important issue to assess the systemic risk of banks, but there is a lack of research on the assessment of the systemic risk of Turkey’s financial system. In addition, geometric Brownian motion is used in most of the assessment frameworks of systemic risk un...

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Autores principales:	Hong Fan, Lingli Feng, Ruoyu Zhou
Formato:	article
Lenguaje:	EN
Publicado:	Hindawi Limited 2021
Materias:	Mathematics QA1-939
Acceso en línea:	https://doaj.org/article/4b0d394a18e346e892d3d4b572f35677
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spelling	oai:doaj.org-article:4b0d394a18e346e892d3d4b572f356772021-11-08T02:35:55ZResearch on Systemic Risk of the Turkish Banking Industry Based on a Systemic Risk Measurement Framework of the Fractional Brownian Motion1607-887X10.1155/2021/5954411https://doaj.org/article/4b0d394a18e346e892d3d4b572f356772021-01-01T00:00:00Zhttp://dx.doi.org/10.1155/2021/5954411https://doaj.org/toc/1607-887XSince the 2008 financial crisis, it is an important issue to assess the systemic risk of banks, but there is a lack of research on the assessment of the systemic risk of Turkey’s financial system. In addition, geometric Brownian motion is used in most of the assessment frameworks of systemic risk under the normal financial market state, while the Turkish financial market has the situation of spike and thick tail. Therefore, this paper proposes a fractional Brownian motion measurement framework of systemic risk to study the systemic risk of the Turkish financial system. Firstly, this paper uses the data of 11 Turkish listed banks from 2014 to 2019 to conduct a normality test and demonstrate that its market has the characteristics of a fractal market; that is, there is a spike and thick tail distribution phenomenon in the stock price trend. Then, this paper proposes a fractional Brownian motion systemic risk measurement framework (fBSM). Based on the proposed theoretical framework and the actual data of Turkish listed banks from 2014 to 2019, a dynamically evolving Turkish banking network system is constructed to measure the systemic risk in the Turkish banking system. The research results find that the systemic risk is the highest in 2017, which then improved and gradually recovered. In addition, when analyzing the sensitivity of the Hurst index, it shows that with the increase in Hurst index, the Hurst index elasticity of Turkish banks’ asset value increases gradually and the asset value also increases continuously. Hence, the Hurst index has a greater impact on asset value. Therefore, the measurement framework of systemic risk based on the fBSM can better monitor the systemic risk than the traditional geometric Brownian motion in the Turkish banking system.Hong FanLingli FengRuoyu ZhouHindawi LimitedarticleMathematicsQA1-939ENDiscrete Dynamics in Nature and Society, Vol 2021 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	Mathematics QA1-939
spellingShingle	Mathematics QA1-939 Hong Fan Lingli Feng Ruoyu Zhou Research on Systemic Risk of the Turkish Banking Industry Based on a Systemic Risk Measurement Framework of the Fractional Brownian Motion
description	Since the 2008 financial crisis, it is an important issue to assess the systemic risk of banks, but there is a lack of research on the assessment of the systemic risk of Turkey’s financial system. In addition, geometric Brownian motion is used in most of the assessment frameworks of systemic risk under the normal financial market state, while the Turkish financial market has the situation of spike and thick tail. Therefore, this paper proposes a fractional Brownian motion measurement framework of systemic risk to study the systemic risk of the Turkish financial system. Firstly, this paper uses the data of 11 Turkish listed banks from 2014 to 2019 to conduct a normality test and demonstrate that its market has the characteristics of a fractal market; that is, there is a spike and thick tail distribution phenomenon in the stock price trend. Then, this paper proposes a fractional Brownian motion systemic risk measurement framework (fBSM). Based on the proposed theoretical framework and the actual data of Turkish listed banks from 2014 to 2019, a dynamically evolving Turkish banking network system is constructed to measure the systemic risk in the Turkish banking system. The research results find that the systemic risk is the highest in 2017, which then improved and gradually recovered. In addition, when analyzing the sensitivity of the Hurst index, it shows that with the increase in Hurst index, the Hurst index elasticity of Turkish banks’ asset value increases gradually and the asset value also increases continuously. Hence, the Hurst index has a greater impact on asset value. Therefore, the measurement framework of systemic risk based on the fBSM can better monitor the systemic risk than the traditional geometric Brownian motion in the Turkish banking system.
format	article
author	Hong Fan Lingli Feng Ruoyu Zhou
author_facet	Hong Fan Lingli Feng Ruoyu Zhou
author_sort	Hong Fan
title	Research on Systemic Risk of the Turkish Banking Industry Based on a Systemic Risk Measurement Framework of the Fractional Brownian Motion
title_short	Research on Systemic Risk of the Turkish Banking Industry Based on a Systemic Risk Measurement Framework of the Fractional Brownian Motion
title_full	Research on Systemic Risk of the Turkish Banking Industry Based on a Systemic Risk Measurement Framework of the Fractional Brownian Motion
title_fullStr	Research on Systemic Risk of the Turkish Banking Industry Based on a Systemic Risk Measurement Framework of the Fractional Brownian Motion
title_full_unstemmed	Research on Systemic Risk of the Turkish Banking Industry Based on a Systemic Risk Measurement Framework of the Fractional Brownian Motion
title_sort	research on systemic risk of the turkish banking industry based on a systemic risk measurement framework of the fractional brownian motion
publisher	Hindawi Limited
publishDate	2021
url	https://doaj.org/article/4b0d394a18e346e892d3d4b572f35677
work_keys_str_mv	AT hongfan researchonsystemicriskoftheturkishbankingindustrybasedonasystemicriskmeasurementframeworkofthefractionalbrownianmotion AT linglifeng researchonsystemicriskoftheturkishbankingindustrybasedonasystemicriskmeasurementframeworkofthefractionalbrownianmotion AT ruoyuzhou researchonsystemicriskoftheturkishbankingindustrybasedonasystemicriskmeasurementframeworkofthefractionalbrownianmotion
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Research on Systemic Risk of the Turkish Banking Industry Based on a Systemic Risk Measurement Framework of the Fractional Brownian Motion

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