Research On The Market Risk Of P2P Network Lending

In recent years,the P2 P network lending industry has developed rapidly and made remarkable achievements.However,with the rapid development,there are frequent incidents of problematic platforms and the risks of the industry are gradually exposed.This paper studies the market risk of P2 P network lending,firstly,combining macro and micro perspectives,this paper analyzes and identifies the main risk types in P2 P network lending industry,and selects the market risk of macro perspective for specific analysis.Then the average daily market interest rate of P2 P network lending industry is selected as the date for empirical research.Through the analysis and test of the data,it is found that there are "wave aggregation" and "sharp peak and thick tail" two characteristics in the logarithmic earning rate data,the test results also show that GARCH class model can describe logarithmic earning rate data well.Then,taking the formal formation of the regulatory framework of P2 P network lending on August 24,2017 as an important event,introducing dummy variable to establish GRACH class model.Through comparing and testing,the optimal model is selected to calculate the VaR and CVaR so that we can measure the market risk of P2 P network lending industry.The results show that:(1)the implementation of regulatory policies can affect the fluctuation of price in P2 P network lending market;(2)the CVaR calculated by the GARCH class model can more effectively measure the tail of market risk.(3)the calculation results of the VaR and CVaR shows the market risk of P2 P network lending industry a fluctuating downward trend.According to the results of theoretical analysis and empirical analysis,scientific and feasible countermeasures and suggestions are given for the prevention and control of market risks in P2 P network lending industry.