Risk Measuring of Internet Financial Structural Products Based on Garch-EVT-Copula

Zhenyu ZHANG, Mengyun XIANG

Abstract


Internet structured financial products quickly occupied the market, however, ordinary investors cannot identify its risks because of complex product design. In this paper, Garch-EVT-Copula is used to scale the market risk of these products and quantify the extreme market risk through the Extreme Value Theory, Copula function and VaR model. After introducing our model, this paper uses the method to measure the risk of Internet structured financial products on the platform with an example, and provide scientific decision-making basis for the risk management of Internet financial products.


Keywords


Internet finance; Garch-EVT-copula; VaR

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DOI: http://dx.doi.org/10.3968/n

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