| With the rapid development of Internet technology,China’s Internet financial transactions have witnessed explosive growth.However,the risks behind the rapid development of Internet finance cannot be ignored.The risk issue faced in traditional financial transactions is still the problem to be solved firstly in Internet finance,and is also a hot topic in current financial research.The main research contents of the thesis are as follows:(1)Some models including GARCH(1,1),TARCH(1,1)and EGARCH(1,1)that obey the normal distribution,t-distribution and GED distribution,respectively,are applied to the official credit market interest rate data provided by “First Online Loan” to compute the VaR,and then the failure rate is used to test the estimation effect of the models.The test results show that GARCH(1,1),TARCH(1,1)and EGARCH(1,1)under the GED distribution can well measure the financial risks of China’s Internet credit market.(2)Based on the information asymmetry problem in China’s Internet financial market,an information asymmetry measurement model is established to measure the acquisition of financing information by investors.(3)Introducing the information asymmetry measurement model into the CAViaR model,and proposing an extended model under information asymmetry(SAV-CAViaR model and IG-CAViaR model).And using the official credit market interest rate data provided by “First Online Loan” conduct empirical research.Results show that the extended model has good internal and external properties,which can well describe the impact of information asymmetry on Internet financial risk. |
