基于关联交易的企业集团信用风险研究

Research on Credit Risk of Business Group Based on Related Party Transaction

基于合作博弈理论构建了企业集团关联交易基本模型,刻画了企业集团的公允关联交易以及两种广泛存在的、典型的非公允关联交易行为。利用一类Survival Copula函数刻画了不同类型关联交易下的企业集团信用风险,从理论上阐明了关联交易影响企业集团信用风险的基本机制。研究结果表明:通过关联交易"掏空"母公司的行为会使企业集团的信用风险显著增加;存在最优内部资源配置方式可使企业集团的信用风险水平最低。

This paper constructs a basic model of business group＇s related party transaction based on the cooperative game theory, and depicts fair and unfair related party transactions of business group. Then it depicts the credit risk of business group in different kinds of related party transaction by using a Copula function, and analyzes theoretically the influence of related party transaction on credit risk of business group. The results show that tunneling would increase the credit risk significantly, and there is an optimal resource allocation that could make the credit risk to be the lowest level.