Analysis and Research of VAR Listed Monetary Fund Based on Big Data

Abstract

In 2013, Internet money fund products led by Yu'e Bao were born. They are dependent on the Internet and attract a large number of customers with their unique marketing platform, convenient trading methods and high liquidity. At present, Alipay, NetEase, SUNING, Tencent, Baidu, JD.com and other companies have joined the ranks. Many Internet money funds are springing up in the market like bamboo shoots after a spring rain. However, against the backdrop of a marked decline in the global economy affected by the COVID-19 epidemic, the reference rate of return of various Internet money funds has plummeted, with Tianhong Yu'ebao ‘s 7-day annualized yield falling below 2% to 1.855% for the first time since its establishment. In this paper, 20 sample funds are tested by VaR model, and the corresponding evaluation is given. The analysis results show that the overall value at risk of Internet money funds is not high, so it is suitable to avoid risk, but the rate of return and VaR do not fully reflect the market law of “high risk, high return; low risk, low return”, indicating that there is still a lot of room for improvement in risk control of Internet money funds in China. The development of Internet money fund has a profound impact on the traditional fund industry and even the whole financial industry. based on this, it is particularly important to analyze the development status, operation mechanism and risk of Internet money fund. Empirical analysis through data statistical test and ARCH effect test can analyze the risk more effectively and help investors understand Internet money fund products so that they can invest better. First of all, compared with the Internet money fund, the risk of bank wealth management products is relatively higher. Second, the risk spillover of Internet money funds and bank wealth management products is asymmetric, and the risk spillover of Internet money funds to bank wealth management products is stronger. Third, Internet money funds of banking and fund departments have positive risk spillover effects on bank wealth management products, which means that Internet money funds of banking and fund departments can aggravate the risk impact on China's commercial banks.