考虑关联关系交互作用的企业间信用风险传染研究  

Research on credit risk contagion considering the interaction of relationships

作　　者：钱茜 周勇 晁祥瑞 QIAN Qian;ZHOU Yong;CHAO Xiangrui(Faculty of Economics and Management,East China Normal University,Shanghai 200062,China;School of Business,Sichuan Normal University,Chengdu 610101,China;School of Business,Sichuan University,Chengdu 610065,China)

机构地区：[1]华东师范大学经济与管理学部,上海200062 [2]四川师范大学商学院,成都610101 [3]四川大学商学院,成都610065

出　　处：《系统工程理论与实践》2022年第1期37-45,共9页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(72101172,71874023,71931004);教育部人文社会科学研究青年基金(19YJC630128)。

摘　　要：现实中,企业之间普遍存在两种或多种关联关系,在关联关系交互作用下,信用风险的传染路径和强度通常会发生改变,导致企业间信用风险传染变得更加复杂.基于此,本文在两种常见的关联(资产关联和交易关联)并存情景下,利用双层网络刻画企业网络拓扑结构,构建包含关联关系交互作用的信用风险传染模型,考察关联关系的交互作用对信用风险传染效应的影响.研究发现:与仅存在资产关联关系相比,资产关联和交易关联并存导致信用风险传染阈值变得更小;资产-交易双层网络拓扑结构是影响信用风险传染效应的重要因素;降低双层网络相似度,有助于抑制信用风险在企业间传染.In reality,there are two or more kinds of relationship between enterprises.Under the interaction of relationships,the path and intensity of credit risk contagion usually be changed,which makes the credit risk contagion more complex.Based on this,a dual-layer network is used to describe the topological structure of enterprise network within coexistence of asset and transaction relationship.A credit risk contagion model considering the interaction of relationships is constructed.And the influence of interaction on credit risk contagion is investigated.The results show that:Compared with the only asset relationship,the risk contagion threshold is smaller when the asset and transaction correlation coexist;the dual-layer network topology is an important factor affecting the contagion effect of credit risk;reducing the similarity of the dual-layer network can restrain the contagion of credit risk among enterprises.

关 键 词：信用风险 交易关联 资产关联 双层网络 传染效应 

分 类 号：F83[经济管理—金融学]