Risk Management Of Internet Money Market Funds Based On VaR Model

In 2013 ’Yuebao’was born,bring internet innovation to financial market.After that the Monetary Market Fund scale increase explosively.Under the background, this paper foucus on researching the risk management of Internet Money Market funds Based on VaR Model.Firstly,the paper introduces related research of risk measurement,then have comparison between Internet fund and the Traditional fund,the comparison hold that the sale model of Internet fund make their exposure to more operation risk and liquidity risk.At same time,the Internet fund has to reduce some benefit to keep higher liquidity.Secondly,the paper review the the key concepts of value at risk(VaR model),and discuss parameter method(variance-covariance method,GARCH model method) and nonparametric method(historical simulation method,the monte carlo simulation method) respectively,summary the principle and steps of 4 method to calculate the VaR.Thirdly, this article selects 8 branch of the Internet and the traditional monetary fund to carry on the empirical research.After stationarity, correlation and heterosce-dasticity test,calculated daily VaR and holding period VaR, then test result with Kupiec backtesting.After modeling and calculating,it is concluded that the VaR risk value suitable for the Internet and the traditional money market funds risk analysis,and significant events bring risk to fund,and the Internet for smaller values of the monetary fund of quantitative risk but have a certain risk conclusion.The highlights of this paper lies in researching the Internet monetary fund risk, and compared with traditional fund.At same time,using VaR model to simulate the Internet fund risk measurement in both parameter and nonparametric method.This article still has its weak point,like benchmark of select fund,the period of sample data not long,unable to analysis of the cause of risk specific deficiencies.