Financial Risk Analysis of Customer Assets from Yu'E Bao

Abstract

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.