摘要
企业集团由于其内部成员企业众多、股权关系错综复杂、关联交易隐蔽化手段高明等显著特征,信用风险在企业集团内部具有明显的传染性。信用等级低、违约风险大的信用异常企业数目的变化决定了企业集团信用风险的整体表现。将企业集团展现成图的结构,提出了与图的度有关的集团内部信用风险传染率的概念,建立了企业集团信用风险传染的随机动态模型。理论上分析了模型的稳定状态条件及违约高峰到来时刻。数值模拟结果表明,降低信用风险传染系数和信用风险关联度或提高单位时间内信用风险治理率能够有效抑制集团内信用风险的传染。与增加信用风险的治理率相比,降低信用风险关联度是一种更为高效的方式。
Credit risk is highly infectious within a business group that has a large number of companies,complex share relationship and invisible related party transactions. The quantity variation of credit abnormal companies which have low credit rating or high default probability determines the overall performance of group's credit level. By showing business group in the form of graph,this paper defines the concept of credit infection rate associated with the graph's degree,makes a mechanism analysis for credit contagion process within business group,proposes stochastic dynamic model for its credit contagion and theoretically analyzes the model's steady state condition and the arriving time for default peak. Numerical simulation results show that reducing infection coefficient and credit risk correlation degree or increasing risk treatment rate can control the contagion trend in business group. Furthermore,reducing risk infection coefficient is a more efficient way than increasing treatment rate.
出处
《管理评论》
CSSCI
北大核心
2015年第1期48-56,共9页
Management Review
基金
国家自然科学基金项目(70971015
71271043)
教育部人文社科一般项目(10XJC630001)
高等学校博士学科点专项科研基金项目(20110185110021)
关键词
企业集团
信用风险传染
关联度
治理率
business group,credit contagion,correlation degree,treatment rate
