互联网金融市场系统性风险度量——基于GARCH-CoVaR模型的分析

Systemic Risk Measure in Internet Finance Based on GARCH-CoVaR

文章对互联网金融市场网贷行业七个主要区域市场的系统性风险溢出效应,即区域市场对整个网贷市场的系统性风险贡献度进行了测度和分析。在对每个市场选择最优模型的基础上计算区域市场的CoVaR、ΔCoVaR值。实证分析结果表明,网贷市场收益率具有"尖峰厚尾"特征,存在杠杆效应但不明显;各区域的风险大小存在差异,区域市场对整个网贷市场的系统性风险的贡献度存在较大差异。总体上可以将区域风险分为高中低三个等级,建议高风险区域地方市场监管者加强风险管理,在把握一定尺度合理地控制风险的前提下,促进区域网贷市场健康发展;同时监管者要加强重点区域的风险控制,防范行业的系统性风险爆发,不搞一刀切,促进网贷行业合规发展。

This paper measures and analyzes the systemic risk overflow effect of the seven major regional markets in the internet financial market and online loan industry.That is to say,the contribution of the regional market to the systemic risk of the entire online loan market is carefully analyzed.Calculating the empirical analysis results on the basis of the optimal model shows that the online loan market yield has the"leptokurtosis and fat-tailed"distribution,and there is a leverage effect which is not obvious;there are differences in the magnitude of the risk in each region,and the regional market has an impact on the total online loan market.The overall regional risks are classified into three levels.It is recommended that local market regulators in high-risk regions should strengthen risk management,and control risk reduction in an appropriate scale to promote the healthy development of the regional online loan market;at the same time,regulators should strengthen the risk control in key regions to prevent the outbreak of systemic risks in the industry,and promote the robust development of the online loan industry.