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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| Format: | Article |
| Language: | English |
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Wiley
2021-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2021/5954411 |
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| _version_ | 1850107456424771584 |
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| author | Hong Fan Lingli Feng Ruoyu Zhou |
| author_facet | Hong Fan Lingli Feng Ruoyu Zhou |
| author_sort | Hong Fan |
| collection | DOAJ |
| 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 |
| id | doaj-art-4b0d394a18e346e892d3d4b572f35677 |
| institution | OA Journals |
| issn | 1607-887X |
| language | English |
| publishDate | 2021-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-4b0d394a18e346e892d3d4b572f356772025-08-20T02:38:35ZengWileyDiscrete Dynamics in Nature and Society1607-887X2021-01-01202110.1155/2021/5954411Research on Systemic Risk of the Turkish Banking Industry Based on a Systemic Risk Measurement Framework of the Fractional Brownian MotionHong Fan0Lingli Feng1Ruoyu Zhou2Glorious Sun School of Business and ManagementGlorious Sun School of Business and ManagementGlorious Sun School of Business and ManagementSince 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.http://dx.doi.org/10.1155/2021/5954411 |
| spellingShingle | 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 Discrete Dynamics in Nature and Society |
| title | 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_short | 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 |
| url | http://dx.doi.org/10.1155/2021/5954411 |
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