基于不完全免疫情景下企业间关联信用风险传染及其仿真

发布时间：2018-01-21 14:38

本文关键词： 关联企业群关联信用风险小世界网络不完全免疫传染　出处：《中国管理科学》2017年01期 　论文类型：期刊论文

【摘要】：随着经济全球化和市场经济的深入发展,企业之间的通过股权、担保、互保、关联交易、金融衍生品、供应链及管理层的多重身份等形成错综复杂的关联关系,关联信用风险已成为现代企业风险管理的热点和难点问题。本文在小世界网络的框架下,提出了"基于关联企业群的小世界网络"的概念,应用平均场理论和传染病学原理,构建不完全免疫情景下的企业间关联信用风险的传染模型,揭示了关联企业群网络中关联信用风险的传染概率与不完全免疫及资产关联之间的关系,并进行了仿真实验。研究发现:在免疫失效和免疫失败共存的条件下,关联企业群网络中关联信用风险传染的临界值降低,从而增大了关联信用风险传染的可能性;关联企业群网络中企业间的资产关联关系和企业自身的免疫治理能力都将影响关联信用风险的传染和免疫效应。本文的研究对于预防和控制关联企业群中关联信用风险的传染具有重要的学术价值和现实意义。
[Abstract]:With the development of economic globalization and market economy, the relationship between enterprises through equity, guarantee, mutual insurance, related party transactions, financial derivatives, supply chain and management of multiple identities forms a complex relationship. The associated credit risk has become a hot and difficult problem in modern enterprise risk management. In this paper, the concept of "small world network based on associated enterprise group" is put forward under the framework of small world network. Based on the mean field theory and infectious disease theory, the infectious model of inter-firm related credit risk under incomplete immunity scenario is constructed. This paper reveals the relationship between the infectious probability of associated credit risk and incomplete immunity and asset association in affiliated enterprise cluster network, and carries out simulation experiments. The results show that: under the condition of immune failure and immune failure coexistence. The critical value of associated credit risk infection is reduced in the network of affiliated enterprises, which increases the possibility of associated credit risk contagion. The relationship between assets and the ability of immune governance will affect the contagion and immune effect of associated credit risk. The study in this paper is to prevent and control the associated trust in the associated enterprise cluster. The transmission of risk has important academic value and practical significance.
【作者单位】：电子科技大学经济与管理学院;西南政法大学经济学院;苏州汇誉通数据科技有限公司;
【基金】：国家自然科学基金资助项目(71271043) 重庆市教委人文社科重点项目(14SKC03) 重庆市社科培育项目(2014PY65)
【分类号】：F832.4
【正文快照】： 1引言在市场经济中,经济活动由信用联结,信用承担了商品和货币流通中的交易媒介职能,成为市场经济发展中逐步形成的高级货币形式,信用关系也正在成为社会成员和组织之间的基本经济关系。2014年6月,国务院发布了《社会信用体系建设规划纲要(2014-2020)》,要求全面推进包括政务

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