Risk Measures Of Chinese P2P Online Lending Market

The development of internet finance,represented by P2 P online lending platforms,not only brings new energy to the innovation of the real economic model and the improvement of operating efficiency,but also provides convenience to small and micro enterprises and individuals.Internet finance has became an indispensable part of the financial industry gradually.However,with the development of lending market,some risk issues begin to emerge.In fact,risk issues of P2 P online lending market reflect the existence of interest rate risk,liquidity risk,credit risk,and legal risk in the market.Interest rate risk is one of the risks which need the key consideration for regulatory authorities,so it is particularly important to measure the interest rate risk in P2 P online lending market accurately.Since the fluctuation of interest rates in the online lending market have a significant impact on the borrowing costs and investor returns,which is one of the important factors causing individual default.The fluctuation of interest rates in the online lending market will also increase the interest rate risk.Therefore,the quantitative analysis of the risk of P2 P online lending market that analysis are based on the interest rate,which is of great significance for promoting the formation of a reasonable interest rate pricing mechanism in the online lending market.It is also of practical significance to control the interest rate risk and stabilize the development of internet finance industry in China.This paper combines theoretical and empirical analysis,and the contents are divided into six parts mainly.The first part is the introduction,which mainly explains the research background and theory,practical significance of this article,as well as the relevant research results at home and abroad.Finally,the research method and basic framework of this paper are expounded.The second part is the risk measurement of financial market,introduces the division of financial risk,the definition and nature of VaR in detail.The third part is the quantitative analysis of the risk of P2 P online lending market which is based on the GARCH model.Firstly,the statistical characteristics of the P2 P online lending market interest rate in the broad supervision period and strict supervision period were analyzed respectively.Then,the mean equations of GARCH model were calculated,the final GARCH models were determined and the parameters were estimated.The risk measurements were carried out based on GARCH models,and the VaR values of the two yield sequences were calculated.Depending on the GARCH-EVT models,the fourth part is the quantitative analysis of the risk of P2 P online lending market.First,this part introduces the extreme value theory model,and then combines the GARCH model with the extreme value theory.The standard residual sequences were obtained from the GARCH models of wide supervision period and strict supervision period fitted in the previous part.And then the standard residual sequences were modeled by the extreme value theory,and the VaR values of the two yield sequences were calculated.The fifth part mainly expounds the validity test of VaR models.The VaR values obtained by the GARCH model and GARCHEVT model in two periods were back-tested respectively,there are two main methods:normal approximation test and Kupiec backtesting test.The sixth part summarizes the theoretical and empirical research methods of this paper,draws the conclusion and prospect of this paper.Through the combination of theoretical research and empirical research,a more accurate quantitative analysis of the risks of the P2 P online lending market in different periods.From the perspective of the supervision of the online lending industry,the risk value of the strict supervision period is lower than that in the wide supervision period obviously,which indicates that the supervision system is introduced gradually,the domestic credit system is improved gradually,the guarantee mechanism of the online lending market is gradually improved,and the market clearing is also accelerating.As the industry gradually regulates,it will usher in a new turn in the future.