关键词: 有向复杂网络, 违约风险, 风险传染, 风险防范, 改进SIRS模型

Abstract:

Guarantee circle risk has always been a hot issue that the government and enterprises pay more attention to. The negative effect of the "domino" caused by it not only endangers the local financial ecology， but also creates regional financial risks， and even cross-regional contagion， posing a huge threat to the Chinese economy. It is of great practical significance to establish a reasonable risk contagion prediction model according to the contagion characteristics of the guarantee circle， and to carry out targeted prevention and control in advance.The current research on risk contagion modeling based on complex network is still mainly based on the financial network formed between banks. The risk contagion modeling with the guarantee circle as the object is also mostly studied from the perspective of undirected network and complete mutual aid network. The risk contagion in the guarantee circle is directional， and the risk is generally contagious in one direction along the guaranteed direction. Therefore， the existing research cannot fully reveal the contagion path of the guarantee circle， and it is difficult to propose reasonable control measures.Based on this， a directed complex network based on the directional characteristics of default risk contagion in the guarantee circle is constructed in this paper. Practical issues such as guarantees， guarantees， bankruptcy and withdrawal from the guarantee circle are considered.Relevant parameters such as in-degree， out-degree， and bankruptcy rate are incorporated into the model to construct an improved SIRS model. Further， based on the guarantee information of national non-financial listed companies from 2008 to 2019 in the China Stock Market & Accounting Research Database， a large-scale， multi-node， complex structure and cross-provincial guarantee circle is constructed. 32 listed companies and 2，667 unlisted companies are included in the guarantee circle. Taking the real link of the guarantee circle as an example， the prediction and simulation of the risk contagion in the guarantee circle are carried out， and the breadth and speed of the default risk contagion in the guarantee circle are reasonably predicted. The combined prevention and control strategies of the government， enterprises and banks for simulation are set to explore the impact of different combined prevention and control strategies on risk contagion.The main conclusions of this paper are： （1） The peak of the infected company is most sensitive to the infection rate， while the peak of the bankrupt company is the most sensitive to the cure rate. （2） When the in-degree and centrality of the feature vector of infecting companies become larger， the peak of infection of the companies in the guarantee circle will increase， the speed of reaching the peak of infection will become faster， and the duration of the default risk infection will become longer. （3） The prevention and control effect of the combined rescue strategy is better than that of the single rescue strategy. Enterprises strengthen their own cash flow management to reduce the infection rate is the key to risk prevention and control. The effective play of the government's rescue strategy depends on the cooperation of multiple parties.The main contribution of this research is to study the risk contagion model based on the directional characteristics of the guarantee circle， which helps to better simulate the risk contagion link of the guarantee circle in our country. This research has certain guiding significance for governments， banks and enterprises to strengthen risk monitoring and prevent and control major financial risks.

Key words: directional complex network, default risk, risk contagion, risk prevention, improved SIRS model