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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。
Because of its significant number of internal members, complicated relationship of ownership, sophisticated means of concealment of related party transactions and other notable features, credit risk is obviously contagious within the enterprise group. The change of the number of credit abnormal enterprises with low credit rating and high default risk determines the overall performance of the credit risk of enterprise groups. The paper presents the structure of enterprise groups and puts forward the concept of contagion rate of credit risk within groups according to the degree of graph, and establishes a stochastic dynamic model of credit risk contagion of enterprise groups. In theory, the steady state condition of the model and the peak time of default are analyzed. The numerical simulation results show that reducing the correlation between credit risk contagion coefficient and credit risk or improving credit risk governance rate per unit time can effectively reduce the contagion of credit risk in the group. Reduce the credit risk correlation is a more efficient way than to increase the credit risk governance rate.