基于分位数回归P2P平台收益率风险度量的研究

Research on profit rate risk measurement of peer-to-peer platform based on quantile regression

以我国P2P网络借贷平台的日平均收益率为研究对象,在t分布和指数广义自回归条件异方差(Exponential Generalized Autoregressive Conditional Heteroskedasticity,EGARCH)模型基础上,引入分位数回归的方法,建立了t-EGARCH(1,1)模型,并给出P2P平台收益率的风险度量。实证分析表明,在1%和5%的显著性水平下,基于分位数回归的t-EGARCH(1,1)模型有更明显的稳健性,且对P2P平台收益率的风险度量效果更好。

Based on the t-distribution,EGARCH(1,1)model and quantile regression method,the value at risk of the daily average return rate of Chinese P2P network lending platform is investigated.Empirical analysis shows that the t-EGARCH(1,1)model based on quantile regression is more robust at the significance level of 1%and 5%,and has better performance on risk measurement of return rate of P2P platform.