According to the problem of internet financial risk measurement,this paper proposes to measure the Internet risk measurement by Monte Carlo simulation.Firstly,the CSI Internet Financial Index is selected as the research object,and the basic statistical analysis of the data is carried out. It is concluded that the logarithmic yield of the CSI Internet Financial Index has the characteristics of sharp tail and heteroscedasticity,and the GARCH model is established.The mean and variance are estimated. Secondly,based on the mean and variance calculated by the GARCH model,the Monte Carlo simulation method is used to calculate the VaR and CVaR values of the CSI Internet Financial Index. Finally,the Kupiec return is performed on the accuracy and accuracy of the model.Tests show that both VaR and CVaR can be used as tools to measure Internet financial risk,but VaR is much better than CVaR in accuracy and accuracy,so CVaR is a better risk measurement tool.