基于元胞自动机的企业集团信用风险传递仿真

摘要/Abstract

摘要： 企业集团作为商业银行的重要客户,其内部信用风险传递机制的仿真与预测研究对于商业银行的风险控制尤其重要。而传统的仿真方法或者没有考虑到企业集团其本身的结构特性,或者过分依赖于具体随机过程的假定,大大降低了其结论的可靠性。因此,本文引入在生物与计算机领域广泛使用的元胞模型对企业集团内部关联信用风险传递机制进行仿真与模拟。研究发现,企业集团中的信用风险传递会出现风险分散和风险扩大两种不同的效应,并且母公司可以选择对各子公司的最优控制度使得母公司的违约概率最低。

关键词: 企业集团, 元胞自动机, 信用风险传递, 仿真

Abstract: The enterprise group has always been seen as the key customer of the commercial bank. The research on system simulation and prediction in the credit risk contagion of the enterprise group has been a key issue of risk control concerned by commercial bank. But the traditional simulation methods either do not take into account the corporate group of its own structural characteristics or over-reliance on the specific assumptions of random process, that makes a significantl reduction of the reliability of conclusions. So in this paper the Cellular Automata model, which is widely used in the field of biological and computer science, is introduced into the research on system simulation in the credit risk contagion of the enterprise group. It is found out that the credit risk of the enterprise changes into two different modes: the diversification of risk and the expansion of risk. Parent company can choose the optimal control of each subsidiary to reach the lowest default probability.

Key words: enterprise group, cellular automata, credit risk contagion, simulation

中图分类号:

F832.33

徐超, 杨扬, 周宗放. 基于元胞自动机的企业集团信用风险传递仿真[J]. 中国管理科学, 2012, (4): 144-150.

XU Chao, YANG Yang, ZHOU Zong-fang. Simulation of Risk Transfer in Enterprise Group Based on Cellular Automata[J]. Chinese Journal of Management Science, 2012, (4): 144-150.

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