Research On Risk Contagion And Management Of Peer-to-peer Lending Industry

As the "Internet plus" policy is fully implemented in China,P2 P online lending has witness the rapid development in recent years.However,default risks in P2 P platforms are accumulated and the contagion mechanism become obvious due to P2 P industry supervision deficiencies,which causes serious impacts in financial markets.In this paper,the risk contagion of P2 P industry is regarded as research perspective.The characteristics and effects of risk contagion are revealed by combing empirical research and the analysis of mechanism and path during risk contagion,in order to explore the effective risk prevention and regulation measures.Firstly,the state of P2 P lending industry and risk contagion research are studied and analyzed.The basic research idea,the mian contents,the research framework and the main innovative points are also stated.Secondly,the development status and existing risks of P2 P industry are further discussed.The mechanism and theory of risk contagion are revealed by analyzing the risk source,type of risk contagion,contagion channel and path.Thirdly,SVAR model and DCC-EGARCH model are built.The empirical research about risk contagion effect of P2 P industry in China is performed based on different regions and industry.Empirical results show that compared to stable period,Granger causality and impulse response in different regions are remarkably strengthened during risk contagion period.There are obvious cross-infection characteristics and leverage effect between different regions.However,the contagion effect between P2 P industry and other financial sectors is not so obvious by comparision.Fourthly,time-varying Copula formulas are used to describe the mutual linkage and dynamic dependence of the empirical data.The results prove that time-varying correlation coefficients between most regions has imcreased during risk contagion period of P2 P industry.But time-varying correlation coefficients between different finance industry do not change evidently.There are three periods when time-varying correlation coefficients imcrease between different regions by testing structural change points: March to Aprial in 2015,October to December in 2015 and May to July in 2016Finally,the model for risk management of P2 P industry is built based on the System Dynamics Theory.Simulation research of the number of P2 P platforms based on Vensim are performed.The result shows that the risk regulation of P2 P industry in China needs to be strengthened and the risk isolation mechanism should be established urgently.Furthemore,the risk isolation mechanism and risk control systems of P2 P industry are discussed.Besides,three closed-loop negative feedback supervision control system is established based on automatic control theory.Especially several measures and suggestions about risk prevention and regulation are put forward by learning from foreign regulation experiences.