Research On Risk Dependence Structure And Spillover Effect Of Internet Finance And Commercial Banks In China

Under the background of deepening reform,the government's control policy in the financial field began to loosen gradually,and Internet finance developed rapidly.However,with the rapid development of Internet finance,the risks brought by Internet finance have always been the focus of attention from all walks of life.In the current research,the operation mode and regulation logic of Internet finance have been elaborated in detail,but there are few studies on systemic risk of Internet finance,lacking intuitive and reasonable quantitative analysis of Internet financial risk.In order to enrich this research,this paper chooses the Internet financial index of China Securities Exchange as the research object,and seeks an appropriate statistical model to quantitatively analyze the specific characteristics of the Internet financial market and the size of the systemic risk,so as to have accurate judgment and profound understanding of the Internet financial risk,and to provide a reference for investors and government departments to make corresponding decisions.This article mainly carries on the theoretical analysis and the empirical analysis to the Internet finance and the commercial bank risk.The theoretical analysis part of Internet finance starts from the definition and function,compares and summarizes the risks it may face,as well as the mechanism and principle of the interaction between Internet finance and Commercial Bank risks.The empirical part is divided into two parts.In the first part,the volatility of Internet financial market is represented by the CISE interconnected financial index,and the volatility of commercial bank market is represented by the daily closing average price of 17 representative commercial bank stocks.The time series ARMA(0,0)-GARCH(1,1)model is used to fit the marginal distribution characteristics of the two return series,and on this basis,the characteristics of the marginal distribution of the two return series are fitted.The t-Copula function is used to connect the two sequences and calculate their integration risk VaR.The results show that the integrated risk value of Internet Finance and commercial banks connected by t-copula function is significantly greater than the risk value of VaR simple sum of the two risk factors.The second part further explores the impact of Internet Finance on different types of commercial banks,using GARCH-Copula-CoVaR model to calculate the Risk Spillover Effect of Internet Risk Finance on different types of commercial banks.The results show that when considering the Risk Spillover Effect of Internet Finance on different types of commercial banks,the Risk Spillover degree of Internet finance to joint-stock commercial banks is the highest,followed by urban commercial banks,and the Risk Spillover degree of state-owned commercial banks is the lowest.Finally,based on the above research,this paper analyses the causes of the risk of Internet financial integration and spillover effect,and puts forward appropriate suggestions from the government,commercial banks and Internet financial enterprises.The government should actively encourage the development of Internet finance,give it correct guidance,strengthen the supervision of relevant aspects and optimize the development environment;commercial banks should pay attention to financial innovation,timely change the business model,improve service quality,strengthen their ability to resist risks,and create a new situation of coordinated development with Internet finance;for Internet financial enterprises,they should continue to improve.The ability of scientific and technological innovation,strengthening the construction of corporate social responsibility and ethics,contributes to China's economic and social development.