基于小世界网络的企业间关联信用风险传染延迟效应

Contagion Delayed Effects of Associated Credit Risk Based on Small World Network

随着市场经济的深入发展,企业之间的关联性越来越强,关联信用风险已成为现代企业信用风险管理中的热点问题。本文在小世界网络的框架下构建关联信用风险传染模型,提出了"基于企业关联关系的小世界网络"的概念,研究了该网络结构中"非健康"企业的密度与关联信用风险的传染延迟时间及传染概率之间的关系,并通过可视化分析,探讨了关联信用风险传染概率的临界值和"非健康"企业的密度。研究发现,企业之间的资产关联有助于相互分担风险,延缓关联信用风险的爆发;关联信用风险的传染概率受企业的资产关联比和企业间关联个数影响。同时发现,不考虑资产关联比的企业网络低估了关联信用风险的传染概率。

The correlation between enterprises becomes stronger and stronger with the further development of market economy.The associated credit risk has become a highlight in modern enterprise credit risk management.This paper tries to construct the associated credit risk contagion models on the basis of the framework of the small world network,and puts forward the concept of ＂small world networks based on the enterprise association＂.We study the relationship among the density of ＂non-healthy＂ enterprises and the contagion delay time of the associated credit risk and contagion probability in the network.We probe into critical values of the associated credit risk contagion probability and the density of ＂non-healthy＂ enterprises by using the method of visualization.This study has found that the associated assets between enterprises contribute to sharing risks mutually and delaying the outbreak of the associated credit risk.The associated credit risk contagion probability is affected by directly associated assets ratio and the number of correlations between enterprises.We have also found enterprise networks that do not consider the associated assets ratio underestimate the probability of associated credit risk contagion.