嵌入小世界网络的企业集团信用风险演化仿真  

The Simulation of Credit Risk Evolution of Business Group Based on Small-World Networks

作　　者：杨扬[1] 周宗放[1] 费文颖[2] 

机构地区：[1]电子科技大学经济与管理学院,四川成都610054 [2]南开大学公司治理研究中心,天津300071

出　　处：《管理工程学报》2014年第1期138-143,共6页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(70971015);国家社科基金重点资助项目(10Z&035)

摘　　要：由于存在广泛而复杂的内部关联性,企业集团信用风险演化呈现出与单个企业不同的特征。建立企业集团内部异质成员企业的微观行为模型,并通过多智能体仿真得到企业集团规模、外部市场状况以及子公司主导行为对企业集团信用风险延迟效应与溢出效应的影响。结论表明:(1)企业集团能够通过内部资本市场,利用规模优势降低其面临的信用风险;(2)外部市场状况的好转对降低企业集团信用风险的作用有限;(3)子公司主导行为对企业集团信用风险影响并非单调,且存在子公司主导程度使得企业集团信用风险达到极小值。通过这些结论可以解释一些典型经济现象,同时也可以为商业银行集团客户信用风险管控提供有益的帮助。Business groups are multi-corporate unions with complex internal organizational structure and extensive exposure to external market.Compared with individual companies,the characteristics of credit risk evolution of business groups are very different.On one hand,the interaction between heterogeneous subsidiaries may hide or spread the credit risk.On the other hand,the interaction between business group and heterogeneous companies in different external market may increase the credit risk with high uncertainty.Most of existing researches are qualitative analysis for credit risk of business groups or empirical test with financial data of business groups based on the classical model of risk measurement.Few quantitative theoretical researches either show the dynamic process of credit risk evolution exogenously or directly ignore the dynamic characteristics of credit risk evolution.All these studies assume that subsidiaries in business groups are homogenous and the external market is given exogenously.However,these assumptions precisely avoid the essential characteristics of credit risk evolution for business groups.In order to capture the characteristics of credit risk evolution of business groups,this paper first defines the delayed effect and the spillover effect of credit risk evolution for business groups with macroscopic and microscopic perspectives.A mathematical model is constructed to depict the heterogeneity of subsidiaries in business groups and the endogenous progress of external market.A simulation program is used to assess the influence of business group size,external market environment and leading behavior of subsidiary on delayed effect and spillover effect.The entire paper is organized as follow.Section one is to review literatures about credit risk of business groups.The section two can be divided into three parts.The first part proposes four basic hypotheses-ownership structure hypothesis,debt structure hypothesis,network structure hypothesis,and value creation and benefits sharing hypothesis.The seco

关 键 词：企业集团 延迟效应 溢出效应 信用风险 仿真 

分 类 号：F830[经济管理—金融学]