Research On The Measurement Of Interest Rate Risk And The Risk Contagion Effect Of Net Lending

Although P2P lending can not only meet the investment and financial needs of the general public,but also solve the financing problem of small and medium-sized enterprises,it stands out among many Internet financial models.However,at present,the industry has accumulated a large number of borrower default risk,platform violation risk,interest rate risk,so that the P2P industry frequently burst mines.At the same time,P2P lending risks also infect other financial markets,leading to different degrees of risks in other financial markets.Among the many risks,interest rate risk is the most common and most influential one in the online loan market.At present,there are not many researches on the measurement of interest rate risk and risk contagion effect of P2P lending in academic circles.Therefore,VaR and CVaR models are used to measure the interest rate risk of online lending,and then granger causality test and dcc-garch model are used to explore the risk contagion effect of online lending market risk on the stock market,gold market and money market.Specific research work and contents are as follows:1.On the basis of combing the development process and current situation of P2P online lending industry in China,interest rate pricing mechanism and major risks existing in the industry,starting from the fluctuation end of online lending interest rate,the GARCH model is constructed to fit the logarithmic yield sequence of online lending interest rate.Then,VaR and CVaR models are used to measure the interest rate risk in the online loan market.The average CVaR value in the risk incubation period reaches 0.026,and the average CVaR value in the risk outbreak period reaches 0.018,which is larger than the CVaR value of general financial assets,indicating that there is a large risk in the online loan industry.However,the CVaR sequence generally shows a decreasing trend and is basically stable at the level of 0.02.Therefore,it can be considered that the industry risks are controllable as a whole and the industry gradually moves towards compliance.2.Collect the P2P network loan interest rates,stock’s closing price of the Shanghai gold exchange,shibor value and the Shanghai composite index represents net lending market,gold market,money market,the stock market,using R language programming constructs DCC-GARCH model to solve the P2P network credit industry and dynamic correlation coefficient between the other three market,and then use the granger causality tests verify the four market risk contagion between causal relationship,in order to explore the P2P network credit market risk contagion effects.The results show that there is a strong risk contagion effect in P2P lending market and money market,and only in the latent period of risk can the interest rate risk of P2P lending market infect the gold market and stock market.3.Put forward Suggestions on risk prevention and feasible regulatory policies from the interest rate level: set the range value of online lending interest rate;Establish the early warning mechanism of yield risk in the online loan market;Improve the self-regulation mechanism of interest rate pricing in the online loan market;Finally,the risk infection isolation mechanism between industries is established.