关键词: 中小企业, 违约风险系统成分, 违约风险异质成分

Abstract: Frequent large jumps are more like to occur in volatility of the asset values of Small & Middle Enterprises (SMEs) when suffering the impact of worse external economic condition and sudden events, due to their smaller scale and limited business scope. Thus, their asset values are possible to plunge in short time, which leads to the sharp increase of default risk. The correlation between their default risks becomes higher as well. However, distinct features can also be observed in the change of the default risks of different enterprises.
In order to better measure the default risks of SMEs and analyze their correlation and heterogeneity, the component analysis, which combining the portfolio default risk analysis with systematic risk indicator β, is developed under the assumption that the asset value follows the diffusion-jump stochastic process. In such a way, individual default risk can be divided into systematic component and idiosyncratic component, on the basis of which Systematic Component Index (SCI) and Idiosyncratic Component Index (ICI) are constructed. Larger SCI represents bigger systematic default risk and higher correlation between the risks, which caused by worse external economic condition or negative impact of sudden event. On the other hand, larger ICI shows higher nonsystematic or idiosyncratic default risk, which is primarily driven by its heterogeneity. In further empirical research, systematic change in default risk of the sample SMEs is found significant, but the systematic and idiosyncratic components of SMEs from different sectors are quite different.
The component analysis provides methodological advantage in explaining joint default risk as well as firm-specific risk of SMEs and will help to advance the default risk management for them.

Key words: SME, jump factor, default risk, systematic component, idiosyncratic component