Research on credit risk contagion considering the interaction of relationships

QIAN Qian, ZHOU Yong, CHAO Xiangrui

Systems Engineering - Theory & Practice ›› 2022, Vol. 42 ›› Issue (1) : 37-45.

PDF(782 KB)
PDF(782 KB)
Systems Engineering - Theory & Practice ›› 2022, Vol. 42 ›› Issue (1) : 37-45. DOI: 10.12011/SETP2021-0033

Research on credit risk contagion considering the interaction of relationships

  • QIAN Qian1,2, ZHOU Yong1, CHAO Xiangrui3
Author information +
History +

Abstract

In reality, there are two or more kinds of relationship between enterprises. Under the interaction of relationships, the path and intensity of credit risk contagion usually be changed, which makes the credit risk contagion more complex. Based on this, a dual-layer network is used to describe the topological structure of enterprise network within coexistence of asset and transaction relationship. A credit risk contagion model considering the interaction of relationships is constructed. And the influence of interaction on credit risk contagion is investigated. The results show that:Compared with the only asset relationship, the risk contagion threshold is smaller when the asset and transaction correlation coexist; the dual-layer network topology is an important factor affecting the contagion effect of credit risk; reducing the similarity of the dual-layer network can restrain the contagion of credit risk among enterprises.

Key words

credit risk / transaction relationship / asset relationship / dual-layer network / contagion effect

Cite this article

Download Citations
QIAN Qian , ZHOU Yong , CHAO Xiangrui. Research on credit risk contagion considering the interaction of relationships. Systems Engineering - Theory & Practice, 2022, 42(1): 37-45 https://doi.org/10.12011/SETP2021-0033

References

[1] 李永奎, 周宗放. 基于无标度网络的关联信用风险传染延迟效应[J]. 系统工程学报, 2015, 32(5):575-583. Li Y K, Zhou Z F. Contagion delay effect of associated credit risk based on scaleless networks[J]. Journal of Systems Engineering, 2015, 32(5):575-583.
[2] Giesecke K, Weber S. Cyclical correlations, credit contagion and portfolio Losses[J]. Journal of Banking and Finance, 2004, 28(12):3009-3036.
[3] Hertze M G, Li Z, Officer M S, et al. Inter-firm linkages and the wealth effects of financial distress along the supply chain[J]. Journal of Financial Economics, 2008, 87:374-387.
[4] Jorion P, Zhang G. Credit contagion and counterparty Risk[J]. Journal of Finance, 2009, 64(5):2053-2087.
[5] 陈林, 周宗放. 基于股权比重的企业集团内母子企业之间信用风险传递研究[J]. 管理工程学报, 2009, 23(3):80-84. Chen L, Zhou Z F. A research-based shareholding ratio on default contagion between parent and subsidiary company in an enterprise group[J]. Journal of Industrial Engineering and Engineering Management, 2009, 23(3):80-84.
[6] 李丽, 周宗放. 源于关联担保的信用风险传染机理[J]. 系统工程, 2015, 33(1):55-60. Li L, Zhou Z F. Credit contagion mechanism for interrelated guarantee[J]. Systems Engineering, 2015, 33(1):55-60.
[7] 吴宝, 李正卫, 池仁勇. 社会资本、融资结网与企业间风险传染-浙江案例研究[J]. 社会学研究, 2011(3):84-105. Wu B, Li Z W, Chi R Y. Social capital, financing networking and risk contagion among enterprises:A case study of Zhejiang province[J]. Sociological Study, 2011(3):84-105.
[8] Sui X, Li L. Guarantee network model and risk contagion[J]. Chaos, Solitons and Fractals, 2018, 106:323-329.
[9] 汪辉, 邓晓梅, 杨伟华, 等. 中小企业信用再担保体系演化稳定条件分析[J]. 中国管理科学, 2016, 24(7):1-10. Wang H, Deng X M, Yang W H, et al. Analysis on evolutionary stability conditions for SMEs credit re-guarantee system[J]. Chinese Journal of Management Science. 2016, 24(7):1-10.
[10] Cai J, Eidam F, Saunders A, et al. Syndication, interconnectedness, and systemic risk[J]. Journal of Financial Stability, 2018, 34:105-120.
[11] Li F, Perez-Saiz H. Measuring systemic risk across financial market infrastructures[J]. Journal of Financial Stability, 2018, 34:1-11.
[12] Barro D, Bass A. Credit contagion in a network of firms with spatial interaction[J]. European Journal of Operational Research, 2010, 205(2):459-468.
[13] Wang L, Li S W, Chen T Q. Investor behavior, information disclosure strategy and counterparty credit risk contagion[J]. Chaos, Solitons and Fractals, 2019, 119:37-49.
[14] Jacobson T, Von Schedvin E. Trade credit and the propagation of corporate failure:An empirical analysis[J]. Econometrica, 2015, 83(4):1315-1371.
[15] 张金林, 李健. 企业集团信用风险传染及治理:基于复杂网络理论的分析[J]. 中国软科学, 2020(10):119-136. Zhang J L, LI J. Contagion and governance of enterprise group credit risk:An analysis based on complex network theory[J]. China Soft Science, 2020(10):119-136.
[16] Allen F, Carletti E. Credit risk transfer and contagion[J]. Journal of Monetary Economics, 2006, 53(1):89-111.
[17] 陈庭强, 李心丹, 王冀宁. 多因素耦合下CRT市场信用风险传染的熵空间模型[J]. 系统工程理论与实践, 2016, 36(1):1-14. Chen T Q, Li X D, Wang J N. Spatial interaction theory-based credit risk contagion model under multi-factor coupling for the CRT market[J]. Systems Engineering-Theory & Practice, 2016, 36(1):1-14.
[18] 徐攀, 于雪. 中小企业集群互助担保融资风险传染模型应用研究[J]. 会计研究, 2018(1):82-88. Xu P, Yu X. Research on the application of risk contagion model of mutual guarantee financing for SMEs cluster[J]. Accounting Research, 2018(1):82-88.
[19] 于凯, 荣莉莉, 郭文强, 等. 基于线上线下网络的舆情传播模型研究[J]. 管理评论, 2015(8):200-212. Yu K, Rong L L, Guo W Q, et al. A model of public opinion dissemination on online-offline networks[J]. Management Review, 2015(8):200-212.
[20] Zarezade A, Khodadadi A, Farajtabar M, et al. Correlated cascades:Compete or cooperate[C]//Proceedings of the Thirty-First AAAI Conference on Artificial Intelligence, 2017:238-244.
[21] 迟钰雪, 刘怡君. 基于超网络的线上线下舆情演化模型研究[J]. 系统工程理论与实践, 2019, 39(1):259-272. Chi Y X, Liu Y J. Research on online and offline public opinion evolution model based on the theory of supernetwork[J]. Systems Engineering-Theory & Practice, 2019, 39(1):259-272.
[22] Qian Q, Yang Y, Gu J, et al. Information authenticity, spreading willingness and credit risk contagion-A dual-layer network perspective[J]. Physica A:Statal Mechanics and its Applications, 2019, 536:122519.
[23] May R M, Levin S A, Sugihara G. Complex systems:Ecology for bankers[J]. Nature, 2008, 451(7181):893-895.
[24] 陈庭强, 何建敏. 基于复杂网络的信用风险传染模型研究[J]. 中国管理科学, 2014, 22(11):1-9. Chen T Q, He J M. Credit risk contagion model based on complex network[J]. Chinese Journal of Management Science, 2014, 22(11):1-9.
[25] 钱茜, 周宗放. 考虑免疫性的关联信用风险的传染机理研究[J]. 运筹与管理, 2018, 27(1):132-137. Qian Q, Zhou Z F. Research on the associated credit risk within the immunization[J]. Operations Research and Management Science, 2018, 27(1):132-137.
[26] Wu Q C, Lou Y J, Zhu W F. Epidemic outbreak for an SIS model in multiplex networks with immunization[J]. Mathematical Biosciences, 2016, 277:38-46.
[27] Watts D J, Strogatz S H. Collective dynamics of small-world' networks[J]. Nature, 1998, 393(6684):440-442.

Funding

National Natural Science Foundation of China (72101172, 71874023, 71931004); The Youth Project of Humanities and Social Sciences Foundation of Ministry of Education of China (19YJC630128)
PDF(782 KB)

1296

Accesses

0

Citation

Detail

Sections
Recommended

/