Market Risk Measurement Structured Financial Products In Internet Financial Environment

Internet Financial products rapid development surpass the expectation from people,which are from scratch,and from small to large.Internet financial management has entered a new stage of development so that innovative products continue to emerge.Gradually,the products from the initial low degree of risk-based fund are developed to the current high degree of risk of structured financial products.For these emerging Internet financial structured financial products,both from the perspective of investors or from the perspective of the platform,the risk management needs are very urgent.After the gradual standardization of the Internet financial platform,the control of the market risk has become a top priority.The management of market risk is based on the measurement of market risk,and the research on the risk measurement of Internet financial market is mainly from the qualitative point of view,so that the quantitative research is very small,even a blank,which cannot meet the current requirements of market risk control.This article identifies the new features of market risk of structural financial products under internet finance environment by comparing with traditional products,then point out that there exists a general overflow and infect fast,and in allusion to its characteristics we build EVT model to measure the market risk under extreme conditions.After in-depth discussion,we did empirical analysis with SHFE gold in commodity market,the yuan mid-point to the dollar in exchange rate market,SHCOMP in stock market and SHIBOR overnight rate.The result show that for two sets of data of SHFE gold and SHCOMP,the fitting result of GPD with the threshold determined by POT method is the best.For the yuan mid-point to the dollar,using threshold determined by the MEF is significantly better than the rest.For SHIBOR overnight rate,using the threshold determined by Hill graph is better than the rest 3 methods.After confirmed the EVT threshold,we built GARCH-EVT model to measure the market risk of structural financial products,and did empirical analysis using the data above.The result indicates that GARCH-EVT model an better measure the risk.Consider the fact that the market influenced by structural financial products’ object under internet finance environment is getting wider,and the market risk which platforms face are getting more complex,it is vital to measure the risk of its portfolio.This article introduces the integrated risk model of COPULA on the basis of GARCH-EVT model and take the data obtained from Zhenrongbao platform as an example.The result indicates that GARCH-EVT-COPULA model better measures the market risk of equal weight portfolio when compares with traditional model.The risk value of structural financial products based on GARCH-EVT-COPULA model deeply quantifies the market risk of portfolio under internet finance environment,offers more comprehensive information to investors and risk controllers and have significance in practice.