Financial Risk Analysis of Customer Assets from Yu'E Bao
This research carried out the financial risk management on customer assets from Yu'E Bao, and measured the impact of the 2018 Yu'E Bao reform on the risk of customer assets from Yu'E Bao. After the risk identification, it is concluded that the risk factors leading to the loss of cu...
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| Format: | Theses and Dissertations |
| Language: | English |
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เชียงใหม่ : บัณฑิตวิทยาลัย มหาวิทยาลัยเชียงใหม่
2020
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| Online Access: | http://cmuir.cmu.ac.th/jspui/handle/6653943832/69594 |
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| Institution: | Chiang Mai University |
| Language: | English |
| Summary: | This research carried out the financial risk management on customer assets from
Yu'E Bao, and measured the impact of the 2018 Yu'E Bao reform on the risk of
customer assets from Yu'E Bao. After the risk identification, it is concluded that the risk
factors leading to the loss of customer assets from Yu'E Bao include liquidity risk,
credit risk, market risk, policy risk, operational risk, and risks arising from the operation
of Ant Financial who is the issuer of Yu'E Bao. Using the return rate of the money fund
invested by Yu'E Bao and the average closing price of 41 companies of "Ant Financial"
concept stocks as the original data, assess the investment risk from the money fund and
the risk from the service provider Ant Financial. Applying the GARCH family models
to measure data variance. According to the measurement results, TARCH and GARCH
models are the best models for measuring two sets of data, respectively, combined with
VaR (value at risk) model to accurately measure the risk degree of customer assets from
Yu'E Bao, and add dummy variables to measure the impact of the Yu'E Bao reform on
the risk of customer assets from Yu'E Bao. According to the measurement results, the
Yu'E Bao reform has a negative impact on the risk of customer assets from Yu'E Bao.
The study finally measured that the risk level of customer assets from Yu'E Bao was not
high within the customer's acceptable range, and determined that Yu'E Bao reform
reduced the risk level of customer assets from Yu'E Bao. |
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