Zeng, Li and Lau, Wee-Yeap and Bahri, Elya Nabila Abdul (2023) Value-at-Risk with quantile regression neural network: New evidence from internet finance firms. Applied Stochastic Models in Business and Industry, 39 (6). pp. 884-905. ISSN 1524-1904,
Full text not available from this repository.Abstract
Traditional risk measurements have proven inadequate in capturing tail risk and nonlinear correlation. This study proposes a novel approach to measure financial risk in the Internet finance industry: a new Value-at-Risk (VaR) measurement based on quantile regression neural network (QRNN). Sparrow Search Algorithm (SSA) is utilized to optimize the QRNN model, which improves the model's performance in predicting internet finance risk. By comparing the TGARCH-VaR and QR-VaR approaches, our study demonstrates the effectiveness of the QRNN-VaR approach and its potential to improve the accuracy of risk prediction in the Internet finance industry. This study further examines and compares the risks between the traditional and internet finance industries. It also considers the unique impact of COVID-19 on industry risk based on statistical testing for differences and machine learning models. Our results indicate that the level of risk in the Internet finance industry is higher than in the traditional finance industry. Moreover, COVID-19 has contributed to increased risk within the Internet finance industry. These findings have significant implications for investors and policymakers seeking to better understand and manage risks within the Internet finance industry, particularly in the ongoing COVID-19 pandemic.
| Item Type: | Article |
|---|---|
| Funders: | UNSPECIFIED |
| Uncontrolled Keywords: | financial risk; internet finance; quantile regression neural network; value-at-risk |
| Subjects: | H Social Sciences > HD Industries. Land use. Labor |
| Divisions: | Faculty of Business and Economics |
| Depositing User: | Ms. Juhaida Abd Rahim |
| Date Deposited: | 20 Aug 2025 03:06 |
| Last Modified: | 20 Aug 2025 03:06 |
| URI: | http://eprints.um.edu.my/id/eprint/50679 |
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