Research On Contagion Effect And Control Strategy Of Associated Credit Risk

With the comprehensive and in-depth development of the market economy,there is a widespread relationship between credit entities such as corporations,banks,investment institutions,and insurance companies.In this dissertation,the credit entity with associated relationships is a related credit entity,abbreviated associated entity.On the one hand,the associated relationship brings about better development opportunities for the affiliated entities and allows the resources to be effectively configured among the affiliated entities.On the other hand,the associated relationships bind the credit entities and bring additional risks.When certain related parties violate the contract,they will cause the credit entity with which it has an association relationship to increase the probability of breach of contract.Such credit risks are regarded as associated credit risks^[1].The associated credit risk is continuously copied and transmitted by the associated relationship,and the so-called"domino"effect has emerged.From the"financial storm"sweeping the world in2008 to the European debt crisis in 2009,as well as the crisis of"burning company"in the domestic Guarantee Circle and the actual case of Enterprise Group bankruptcy,It can be found that the associated credit risk will affect the healthy development of the market economy and even the stability of the whole society.Therefore,identifying and preventing associated credit risks is of great theoretical and practical significance.In China,on the one hand,with the optimization of industrial structure and the rapid advancement of the market economy,the credit economy is gradually becoming the dominant force in promoting China's economic development;on the other hand,with the development of social and financial markets and the trend of globalization,the credit transactions between related parties have become increasingly frequent.Therefore,the research on the related credit risk is a hot issue in the credit risk management field.This dissertation has carried out a series of research on the contagious effect of related credit risk,and based on this,it puts forward an effective risk control strategy.The main work is reflected in the following aspects:First,using the relevant knowledge of game theory to study the contagion effects between two types of different credit risks?ie,trade credit risk and bank credit risk?that exist in the supply chain.In this dissertation,the associated credit risk under the scenario is called D associated credit risk in the supply chain.Further,we measure the contagious intensity of D associated credit risk in the supply chain and analyze the sensitive factors of the D associated credit risk in the supply chain.Finally,the control strategy of D associated credit risk in the supply chain is put forward.Second,the related knowledge of infectious epidemic model and complex network theory is embedded,and two kinds of contagious model?basic model and derivative model?of associated credit risk in the related main network are constructed,and the influence of the risk resistance ability of the related subject individual on the contagious effect of associated credit risk and the stability of the related subject network is discussed.Third,the mechanism of the impact of risk information on the contagion effect of associated credit risk is clarified,and an interaction model of risk information dissemination and associated credit risk infection is constructed.Among them,from a static perspective,the impact of risk information inventory on the associated credit risk contagion is discussed in the associated subject network.From a dynamic perspective,the interaction between the communication of risk information and the contagion of associated credit risk is discussed in a double layer network coupled with the social network of executives and the network of related subjects.Fourth,in the management and control measures of associated credit risk,this paper proposes two effective control strategies:"immunization strategy"and"treatment strategy".Under the two different perspectives of continuous management and discrete management,the effect of the two control strategies on the associated credit risk infection is investigated,and the consistency is obtained.Further,the"immunization strategy"and"treatment strategy"were compared and analyzed.It was found that the"treatment strategy"was a more effective control strategy compared to the"immunization strategy".