基于动态Copula的企业集团信用风险传染效应研究

doi:10.16381/j.cnki.issn1003-207x.2019.02.008

中国管理科学 ›› 2019, Vol. 27 ›› Issue (2): 71-82.doi: 10.16381/j.cnki.issn1003-207x.2019.02.008

基于动态Copula的企业集团信用风险传染效应研究

周利国, 何卓静, 蒙天成

中央财经大学商学院, 北京 100081

收稿日期:2017-05-26 修回日期:2018-05-04 出版日期:2019-02-20 发布日期:2019-04-24
通讯作者: 何卓静(1983-),女(汉族),广东清远人,中央财经大学商学院,博士研究生,研究方向:风险传染、公司金融,E-mail:nicolehzj@sina.cn. E-mail:nicolehzj@sina.cn
基金资助:
国家自然科学基金资助项目（71272235）

Credit Risk Contagion in an Enterprise Group with Dynamic Copula Models

ZHOU Li-guo, HE Zhuo-jing, MENG Tian-cheng

Business School, Central University of Finance and Economics, Beijing 100081, China

Received:2017-05-26 Revised:2018-05-04 Online:2019-02-20 Published:2019-04-24

摘要/Abstract

摘要： 企业集团成员企业间基于业务关联、技术关联和财务关联的相互联系，构成了企业信用风险传染的重要渠道。金融机构如果缺乏对企业集团成员企业间信用风险传染的管理和防控意识，其后果可能是金融机构信贷资产遭受巨大经济损失。本文基于尾部相依性的视角构建动态协变量Joe-Clayton copula模型，实证分析企业集团成员企业信用风险传染问题。研究发现，信用风险在企业集团成员企业间存在传染效应，且这种信用风险传染效应呈现一定的动态特征；宏观经济因素和微观公司经营能力、财务状况对企业集团内部不同组别子企业间信用风险传染效应的影响从重要性程度和作用方向两个维度上存在差异。

关键词: 信用风险传染, 尾部相依性, Joe-Clayton copula, Markov Chain Monte Carlo模拟, 企业集团

Abstract: Credit risk contagion is more likely to happen across the subsidiary firms in an enterprise group because of the various types of connections. The lack of sense in detecting and controlling this credit risk contagion may trigger the dramatical loss to the financial institutions. In this paper, we focus on the extreme co-movements of default in an enterprise group in China. First, the credit risk is measured by calculating Distance-to-Default based on KMV model. Then, the dynamic Joe-Clayton copula model, which provides the flexible tail-dependence parameters, is applied to analyze the credit risk contagion in enterprise group. Finally, both macro-economic and micro-economic factors are used to identify the most important drivers in credit risk contagion across pairwise firms in enterprise group. Our findings suggest that:(1) Credit risk contagion may occur via the tail-dependence of default across subsidiary firms in an enterprise group. (2) For some periods, the significant increase in credit risk contagions across pairwise firms is observed. Moreover, these credit risk contagions present the dynamic trends over time. (3) For different pairwise firms, macro-economic and micro-economic factors play different roles on credit risk contagions in enterprise group. The most important drivers of different pairs of subsidiary firms are not the same. Our paper contributes to the recent risk literature in two respects. First, we expand on a small number of related studies by providing evidence of credit risk contagion among the subsidiary firms at an enterprise group. Second, macro-economic and micro-economic factors are incorporated into a dynamic copula model to investigate the most important drivers in credit risk contagion. In such way, the needs of regulators for risk detection tools and eventual early risk warnings are met.

Key words: credit risk contagion, tail-dependence, Joe-Clayton copula, Markov Chain Monte Carlo simulation, enterprise group

中图分类号:

F830

周利国, 何卓静, 蒙天成. 基于动态Copula的企业集团信用风险传染效应研究[J]. 中国管理科学, 2019, 27(2): 71-82.

ZHOU Li-guo, HE Zhuo-jing, MENG Tian-cheng. Credit Risk Contagion in an Enterprise Group with Dynamic Copula Models[J]. Chinese Journal of Management Science, 2019, 27(2): 71-82.

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基于动态Copula的企业集团信用风险传染效应研究

Credit Risk Contagion in an Enterprise Group with Dynamic Copula Models

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