基于Copula-GARCH模型的互联网金融市场风险测度  

Risk Measurement of Internet Financial Market Based on Copula-GARCH Model

作　　者：陈耀辉[1] 马凌云 CHEN Yaohui;MA Lingyun(School of Economics,Nanjing University of Finance and Economics,Nanjing 210023,China)

机构地区：[1]南京财经大学经济学院,江苏南京210023

出　　处：《南京财经大学学报》2021年第1期22-33,共12页Journal of Nanjing University of Finance and Economics

基　　金：国家社会科学基金一般项目“互联网金融风险测度方法与监管机制研究”(16BTJ030)。

摘　　要：近年来,随着互联网金融产业的发展,许多投资者利用互联网进行投资,2018年P2P雷潮爆发,让大家意识到风险管理的重要性。选择华夏现金增利货币B和广发货币B于2017—2019年的七日年化收益率为研究对象,利用EVIEWS和R软件对两组数据进行描述性统计分析和正态性检验,通过欧氏距离最小法选择二元t-Copula函数建立Copula-GARCH模型,利用MCMC算法对两种货币基金在不同投资组合下的风险进行测度。结果表明,在95%的置信水平下,当华夏现金增利货币B的投资比例为0.7、广发货币B的投资比例为0.3时,风险最小,可见不同的货币基金组合对风险的影响不同。同时VaR对于基金权重的变化没有CVaR敏感,极端情况下的风险测度也很重要。根据实证分析结果,建议:互联网金融风险测度需要重视小概率事件风险,不同的金融投资要有侧重,加强技术研发与统计研究,建立健全有关法规,这样才能有效防范风险。In recent years,with the development of the internet financial industry,many investors use the internet for investment and P2P boom in 2018 let everyone realize the importance of risk management.In this paper,the seven-day annualized rates of return of Huaxia cash increasing interest currency B and Guangfa currency B from 2017 to 2019 are selected as research object,EVIEWS and R software are used to conduct descriptive analysis and normality test for the two sets of data,a Copula-GARCH model is established by using the euclidean distance minimization function to select the binary t-Copula function,and the MCMC algorithm is used to measure the risk of the two funds under different portfolios.The results show that under the 95%confidence level,when the investment proportion of Huaxia cash profit-increasing currency B is 0.7 and that of Guangfa currency B is 0.3,the risk is the least.At the same time,VaR is not sensitive to CVaR,and it is also important to measure the risk in extreme cases.According to the results of the empirical analysis,it is suggested that as for the measurement of internet financial risk great attention should be paid to the risk of small probability events,particular emphasis should be put on the different financial investment,the research on technology R&D and statistics should be strengthened,and the relevant laws and regulations should be established and improved,in order to effectively prevent the risk.

关 键 词：互联网金融风险 COPULA-GARCH 风险价值 条件风险价值 

分 类 号：F830.91[经济管理—金融学]