| As a new form of integration of traditional financial industry and high technology,Internet finance has the characteristics of high degree of interconnection,large-scale interconnection,efficient transmission,and zero marginal cost.Even if the scale of Internet finance is small,there may be an impact in a relatively short period of time.It may bring systemic risks to the entire financial system,and it needs to strengthen its measurement and attention.This article first sorts out the research literature that scholars have done in the past,analyzes the types,characteristics,and generative mechanism of Internet financial risks in detail,and prepares for the risk measurement of the following text.In order to measure the risk of Internet finance,this paper uses the combination of EGARCH model and the extreme value theory POT model to study the negative logarithmic returns of the China Securities Connected Financial Index from 2014 to 2018,using VaR and CVaR indicators.An empirical analysis of China’s Internet financial stock market risk is conducted.The empirical results show that under 95%and 99%two different confidence levels,the EGARCH model can well fit the volatility and aggregation of returns.The extreme value theory of POT The model can fit the thick-tailed characteristics of the rate of return,thus improving the prediction accuracy of VaR estimation to a certain extent,and providing reference for the regulatory authorities to formulate corresponding laws and regulations.For the results of empirical studies,the article also proposes corresponding risk prevention recommendations at the end. |
