P2P网络借贷市场利率风险测度研究

Study on Interest Risk Measurement of P2P Network Lending Market

该文利用2013年7月1日至2015年12月31日每日P2P网贷市场利率数据,基于不同分布下的ARGARCH模型研究网贷市场利率波动,运用VaR及CVaR技术研究其利率风险。研究结果表明:(1)网贷市场利率波动具有丛集性、持久性,但其杠杆效应并不明显;(2)AR-GARCH-t模型能较为有效地测度利率风险衡量指标VaR和CVaR,并且CVaR比VaR更能有效地刻画极端风险;(3)从VaR和CVaR来看,呈现出数值和波动幅度逐渐衰减趋势,但利率风险仍然不容忽视。监测网贷市场利率及其波动、建立有效预警机制以及促进网贷市场形成合理利率定价机制是防范和控制网贷市场利率风险的较好思路。

In this paper, we use the P2P network lending market interest rate daily data from July 1, 2013 to December 31, 2015, based on the AR-GARCH model under different distribution to study the P2P network lending interest rate volatility, based on the VaR and CVaR methods to research its interest rate risk. The study results show that： （1）the P2P network lending market interest rate fluctuates with clustering and persistence, but the leverage effect is not obvious; （2）the AR-GARCH-t model can effec- tively measure the interest rate risk indicators of VaR and CVaR, and CVaR can describe the extreme risk more effectively than VaR; （3）From VaR and CVaR point of view, both show a gradual decline in the trend of numerical and volatility, but the interest rate risk still can not be ignored; （4） monitoring network lending market interest rate and its volatility, establishing an effective early risk warning mechanism of CVaR and promoting the formation of reasonable network lending market interest rate pricing mechanism are better methods to prevent and control the interest rate risk.