互联网金融的系统性风险测算

Systematic Risk Measurement of Internet Finance

文章综合我国互联网金融的特征,构建了互联网金融系统性风险的评价指标体系,然后通过主成分分析法,测算了2011—2016年分季度的互联网金融系统性风险。结果表明,近年来我国互联网金融的系统性风险总体上处于上升趋势;同时也可以根据局部变化特征分为四个阶段,依次为风险上升阶段、风险下降阶段、风险抬高阶段和风险缓降阶段。从风险结构来看,互联网金融市场风险、政策监管和法律风险、顺周期风险、政府债务风险和宏观经济运行风险是重要的组成部分。

Based on the characteristics of Internet finance in China,this paper constructs the evaluation index system of Internet financial systematic risk,and then uses principal component analysis method to calculate the systematic risk of quarterly Internet finance from 2011 to 2016.The results show that in recent years,the systematic risk of Internet finance in our country is generally on the rise;at the same time,the risk can be divided into four stages according to local variation characteristics,whose sequence is risk escalation phase,risk deduction phase,risk elevation phase and risk mitigation phase.Seen from the structure of Internet financial risk,important components include market risk,policy regulation and legal risk,pro-cyclical risk,government debt risk and macroeconomic risk.