CAJ | 학술논문

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SurvivalCopula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。
기우합작박혁이론구건료기업집단관련교역기본모형，각화료기업집단적공윤관련교역이급량충엄범존재적、전형적비공윤관련교역행위。이용일류SurvivalCopula함수각화료불동류형관련교역하적기업집단신용풍험，종이론상천명료관련교역영향기업집단신용풍험적기본궤제。연구결과표명：통과관련교역“도공”모공사적행위회사기업집단적신용풍험현저증가；존재최우내부자원배치방식가사기업집단적신용풍험수평최저。
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.