基于GRACH-VAR模型的互联网理财产品市场风险管理研究

Research on the Market Risk Management of Internet Financial Product Based on GRACH-VAR Model

随着余额宝等基于互联网的理财产品迅速占领投资市场,我们看到了互联网思维下金融理财的一大新模式:凡是有留存资金就关联货币基金。本文引入VAR模型对互联网理财产品进行风险分析,以余额宝2013年5月上线至今的万份收益为样本数据,探讨互联网理财产品的收益波动性,评估其市场风险。借鉴前期相关研究,GARCH-VAR模型可以很好地刻画收益率序列的波动性,研究发现:目前互联网金融产品的市场风险仍处可控范围,波动性较小。

With Internet based financial products such as Yu′ ebao occupying the investment market rapidly, a new financial mode under the Internet appears： all retained funds associated with monetary fund. This article introduced the VAR model to analyze the risk of Internet financial product. Taking the 10 thousands of earnings of Yu′ ebao since May 2013 as the sample data, this article discusses the earnings volatility of Internet financial products and evaluate the market risk. Referring to previous studies, GARCH- VAR model can well describe the volatility of yield sequence. The study found that： the current Internet financial products market risk are still controllable with light volatility.