中小企业违约风险系统性和异质性测度——基于违约风险成分分析法的研究  

Measuring Systematic and Idiosyncratic Components in the Default Risk of Small & Middle Enterprises

作　　者：黄苒[1] 范群 郭峰 HUANG Ran,FAN Qun, GUO Feng(School of Economics and Business Administration, Central China Normal University, Wuhan 430079, Chin)

机构地区：[1]华中师范大学经济与工商管理学院

出　　处：《中国管理科学》2018年第3期13-21,共9页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(71201068);国家留学基金资助项目([2015]3012号)

摘　　要：与大中型企业相比,经济环境恶化或突发事件冲击使中小企业资产价值更易大幅下降,不仅单个企业违约风险急增,企业间的违约相关性也明显变大。然而不同类型中小企业违约风险变化特征仍有较大差异。为了更好测度中小企业违约风险、分析其相关性和差异性,本文在资产价值满足跳-扩散过程假定下,将或有权益分析法、组合违约风险分析与系统波动风险测度β相结合,把违约风险分解为系统成分和异质成分。系统成分越大,表明企业违约风险越易受外部经济环境和相关违约风险影响。异质成分越大则表明企业违约风险与自身异质性特征更为相关。实证研究表明,违约风险成分分析能较好解释中小企业违约风险的相关性和差异性,有助于违约风险分类管理。Frequent large jumps are more like to occur in volatility of the asset values of Small ~ Middle Enterprises （SMEs） when suffering the impact of worse external economic condition and sudden events, due to their smaller scale and limited business scope. Thus, their asset values are possible to plunge in short time, which leads to the sharp increase of default risk. The correlation between their default risks becomes higher as well. However, distinct features can also be observed in the change of the default risks of different enterprises. In order to better measure the default risks of SMEs and analyze their correlation and heterogeneity, the component analysis, which combining the portfolio default risk analysis with systematic risk indicator 13, is developed under the assumption that the asset value follows the diffusion--jump stochastic process. In such a way, individual default risk can be divided into systematic component and idiosyncratic compo- nent, on the basis of which Systematic Component Index （SCI） and Idiosyncratic Component Index （ICI） are constructed. Larger SCI represents bigger systematic default risk and higher correlation between the risks, which caused by worse external economic condition or negative impact of sudden event. On the other hand, larger ICI shows higher nonsystematie or idiosyncratic default risk, which is primarily driven by its heterogeneity. In further empirical research, systematic change in default risk of the sample SMEs is found significant, but the systematic and idiosyncratic components of SMEs from different sectors are quite dif- ferent. The component analysis provides methodological advantage in explaining joint default risk as well as firm-specific risk of SMEs and will help to advance the default risk management for them.

关 键 词：中小企业 违约风险系统成分 违约风险异质成分 

分 类 号：F224[经济管理—国民经济] F830