Based on VaR model of LiCaiTongs risk measurement

摘要：

　　LiCaiTong as one of the hottest Internet financial product in the current, due to its embedding WeChat, therefore has a broad user base.This paper selects four kinds of money funds from LiCaiTong as sample, through the study found that the rate of return has obvious peak and fat-tailed and wave agglomeration characteristics.The introduction of GARCH model to depict the volatility of the rate of return sequence.On this basis, calculate the VaR value.The analysis results show that the money funds from LiCaiTong have different risk, and do not reflect the corresponding relation of financial assets high-risk high-rate, low-risk and low-income.

关键词： LiCaiTong Rate of return GARCH model VaR

作者: LIU Haoyu

作者单位: School of Science,North China University of Technology,P.R.China,100144

会议类型: 国际会议

会议名称: The 7th International Institute of Statistics & Management Engineering Symposium(IISMES2015) (第七届国际统计与管理工程学术研讨会)

会议地点: 山东 日照

会议语种:英文

页码: 461-464

在线出版日期: 2015-08-17（万方平台首次上网日期，不代表论文的发表时间）