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

<table class="table-group" id="tab1"><tr><td><table class="table"><tr><td class="thead-hr" colspan="6"><hr/></td></tr><tr class="thead"><td class="align_left">Bank name</td><td class="align_center"><i>m</i></td><td class="align_center">Mean value</td><td class="align_center">Standard deviation</td><td class="align_center">Skewness</td><td class="align_center">Kurtosis</td></tr><tr><td class="thead-hr" colspan="6"><hr/></td></tr><tr><td class="align_left">ALBRK’s 2017 daily closing price log yield</td><td class="align_center">252</td><td class="align_center">0.001174</td><td class="align_center">0.0233461</td><td class="align_center">1.57</td><td class="align_center">25.65</td></tr><tr><td class="align_left">ISCTR’s 2017 daily closing price log yield</td><td class="align_center">252</td><td class="align_center">0.001367</td><td class="align_center">0.0162068</td><td class="align_center">0.356</td><td class="align_center">1.095</td></tr><tr><td class="align_left">HALKB’s 2017 daily closing price log yield</td><td class="align_center">252</td><td class="align_center">0.000625</td><td class="align_center">0.0239999</td><td class="align_center">-0.808</td><td class="align_center">8.276</td></tr><tr class="table-tr"><td colspan="6"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

<div>Logarithmic return statistic value.</div>

Discrete Dynamics in Nature and Society

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Table 1

Table 1: Research on Systemic Risk of the Turkish Banking Industry Based on a Systemic Risk Measurement Framework of the Fractional Brownian Motion 