CAJ | 학술논문

由于存在广泛而复杂的内部关联性,企业集团信用风险演化呈现出与单个企业不同的特征.建立企业集团内部异质成员企业的徽现行为模型,并通过多智能体仿真得到企业集团规模、外部市场状况以及子公司主导行为对企业集团信用风险延迟效应与溢出效应的影响.结论表明：（1）企业集团能够通过内部资本市场,利用规模优势降低其面临的信用风险;（2）外部市场状况的好转对降低企业集团信用风险的作用有限;（3）子公司主导行为对企业集团信用风险影响并非单调,且存在子公司主导程度使得企业集团信用风险达到极小值.通过这些结论可以解释一些典型经济现象,同时也可以为商业银行集团客户信用风险管控提供有益的帮助.
유우존재엄범이복잡적내부관련성,기업집단신용풍험연화정현출여단개기업불동적특정.건립기업집단내부이질성원기업적휘현행위모형,병통과다지능체방진득도기업집단규모、외부시장상황이급자공사주도행위대기업집단신용풍험연지효응여일출효응적영향.결론표명：（1）기업집단능구통과내부자본시장,이용규모우세강저기면림적신용풍험;（2）외부시장상황적호전대강저기업집단신용풍험적작용유한;（3）자공사주도행위대기업집단신용풍험영향병비단조,차존재자공사주도정도사득기업집단신용풍험체도겁소치.통과저사결론가이해석일사전형경제현상,동시야가이위상업은행집단객호신용풍험관공제공유익적방조.
Business groups are multi-corporate unions with complex internal organizational structure and extensive exposure to external market.Compared with individual companies,the characteristics of credit risk evolution of business groups are very different.On one hand,the interaction between heterogeneous subsidiaries may hide or spread the credit risk.On the other hand,the interaction between business group and heterogeneous companies in different external market may increase the credit risk with high uncertainty.Most of existing researches are qualitative analysis for credit risk of business groups or empirical test with financial data of business groups based on the classical model of risk measurement.Few quantitative theoretical researches either show the dynamic process of credit risk evolution exogenously or directly ignore the dynamic characteristics of credit risk evolution.All these studies assume that subsidiaries in business groups are homogenous and the external market is given exogenously.However,these assumptions precisely avoid the essential characteristics of credit risk evolution for business groups.In order to capture the characteristics of credit risk evolution of business groups,this paper first defines the delayed effect and the spillover effect of credit risk evolution for business groups with macroscopic and microscopic perspectives.A mathematical model is constructed to depict the heterogeneity of subsidiaries in business groups and the endogenous progress of external market.A simulation program is used to assess the influence of business group size,external market environment and leading behavior of subsidiary on delayed effect and spillover effect.The entire paper is organized as follow.Section one is to review literatures about credit risk of business groups.The section two can be divided into three parts.The first part proposes four basic hypotheses-ownership structure hypothesis,debt structure hypothesis,network structure hypothesis,and value creation and benefits sharing hypothesis.The second part describes the interaction between heterogeneous subsidiaries in business groups based on the preliminary research results.The last part describes the interaction between business group and heterogeneous companies in external markets based on the theory of complex networks.In section three,this paper uses a simulation tool to analyze the impact of business group size,external market environment and leading behavior of subsidiary on the delayed effect and spillover effect Section four is the conclusion of this paper.This paper has three major findings based on the simulation analysis of credit risk evolution of business groups.First,the scale advantages of a business group can help reduce its credit risk.Second,external environmental improvement can only have limited influence on reducing the credit risk of business group.Third,the effect of the leading behavior of subsidiary on the credit risk of business group is non-monotonous.And there exists a certain level of leading behavior of subsidimy that can minimize the credit risk of business groups.These conclusions and the mathematical model constructed in this paper can help not only understand the competition between commercial banks for group customers,but also provide useful suggestions for both commercial banks and business groups.