企业家社交关系对关联信用风险传染影响的研究——基于双层网络视角

Research on the Influence of Entrepreneur’s Social Relations on Associated Credit Risk Contagion ——An Dual-layer Network Perspective

关联信用风险是指某些企业违约,导致与其存在关联关系的企业违约或违约可能性增大的这类信用风险。企业家的社交关系会影响企业之间关联信用风险的传染效应。本文利用双层网络刻画企业家和企业所形成的耦合网络,分析企业家的社交关系对关联信用风险传染的影响路径,构建双层网络中关联信用风险的传染模型,并考察企业家社交网络和双层网络的结构等因素对关联信用风险传染效应的影响。研究结果表明:企业家的社交关系是影响关联信用风险传染的重要因素;企业家社交-企业关联双层网络的拓扑结构也会影响关联信用风险的传染效应;提高双层网络的相似度,可以抑制关联信用风险在关联企业网络中的传染。本文的研究进一步拓展了信用风险的研究视角,为银行等金融机构对信用风险的提供科学的决策依据。

With the rapid development of economy and financial market,there are complex relationships between enterprises.Default of some enterprises may lead to other default or increase the possibility of default.This kind of risk is called associated credit risk.The influence of social relationships among entrepreneurs on the associated credit risk contagion among enterprises is studied.Firstly,a two-layer network is constructed,which is formed by entrepreneurs and enterprises.Secondly,the influence path of entrepreneur social relationship on the associated credit risk contagion is analyzed.Thirdly,an associated credit risk contagion model is proposed,and the influence of entrepreneur social network and two-layer network structure on the associated credit risk contagion is also discussed.The results show that:the contagion effect of associated credit riskis affected by the social relationships of entrepreneurs and the topological structure of two-layer network;the associated credit risk contagion in associated enterprise network may be inhibited by improving the similarity of entrepreneur social network and associated enterprise network.The research perspective of credit risk is expanded and decision-making basis to control risk are provided for banks and other financial institutions.