| With the rapid development of China's economy,the degree of financial market openness and the correlation between various fields are increasing,and the contagion effect caused by default dependence is also increasing,while the systemic financial risk caused by contagion effect is more destructive.The global financial crisis of 2008 proved that defaults can spread from a single firm to its industry and eventually to systemic risk for the entire market.This paper attempts to use Logit model and quantile regression measure to analyze and demonstrate the value at risk,so as to understand the causes of risk outbreak from the perspective of individual default,contagion effect and systemic financial risk,so as to effectively prevent it.At the level of theoretical research,first of all,based on the relationship between enterprise value,debt and default proposed by Merton(1974)in the loan and bond valuation model,this paper sorted out a number of factors affecting enterprise value,such as macroeconomic,industry prosperity,individual factors,etc.,as further influencing factors of default.Secondly,this paper analyzes and summarizes the resource dependence theory of Richardson(1972),pfeffer and sarasic(1978),Mitchell and singer(1996)and the network organization theory of Larsson and Starr(1993),theoretically supporting the existence of risk contagion effect.Finally,this paper combines the economic cycle theory and financial fragility theory to clarify the existence and transmission mechanism of systemic risk from the macro level.The above theories connect the influencing factors of individual defaults,the contagion effect of individuals on the industry,the contagion effect between industries and the contagion effect of industries on the market to be studied in this paper,providing strong theoretical support for the evolution process from individual defaults at the micro level to systemic risks at the macro level.In the aspect of practice research,first of all,what are the influence factors of individual default for enterprise,effect have how old problems,this paper USES the Logit model,through the nearly four years of the bond market data,selected the representative enterprise debt paying ability,operation ability,profitability of each index,and join the virtual variables of monetary policy and the shareholders background,was investigated from the perspective of qualitative and quantitative factors impact on bond defaults.Secondly,in view of the individual impact on the industry's existence and contagion effect size problems,this paper selected in the mainstream industry with coal,steel,real estate,bank four industries,the selected industries covering the real economy and the financial sector,and selected the 10 representative from each industry listed companies as the research of the individual,based on the stock price index data and industry enterprise,using the quantile regression method to describe the size of the contagion effects,and valuable research conclusions are obtained.Thirdly,regarding the transmission mechanism of systemic risk,this paper,based on the four selected industries,investigates the existence,size and direction of the contagion effect between industries,and studies and analyzes the contagion effect of industries on the market.Finally,this paper selects the stock market data of the asia-pacific region,Europe,the United States and other places,measures the risk spillover effect on China's stock market one by one,and analyzes the existence and impact degree of international risk contagion effect.The content structure of this paper is arranged as follows:Part one: introduction.This paper elaborated the research background,research value and research significance of the subject,puts forward the main problems to be demonstrated,summarizes the research content,ideas and methods,and puts forward the innovation of the research.Part ii: literature review.The literature on corporate default,contagion effect and systemic risk is reviewed.In the part of enterprise default,the influencing factors of default and the credit risk evaluation model are sorted out and commented respectively.Among them,the influencing factors of default mainly include macroeconomic factors,industry environment and enterprise characteristics.The default risk evaluation model mainly includes the traditional evaluation method and the modern evaluation method,and the modern evaluation method also includes the discriminant model,z-score model,KMV model and Logit model.The literature on the infectious effect mainly focuses on the causes and mechanisms of the infectious effect.The literature on systematic risk focuses on the advantages and disadvantages of various measurement methods,including comprehensive index method,conditional value measure method and expected loss method.Part three: theoretical research.It mainly includes the theoretical analysis of enterprise default,the theoretical basis of the existence of contagion effect,and the theoretical analysis of the causes of systemic risk.In the theoretical analysis of enterprise default,the action mechanism of various influencing factors on the result of default and various default measurement models are expounded.The theory of contagion effect is mainly expounded from three aspects: existence,characteristics of contagion and route of transmission.The theory of existence mainly includes resource dependence theory and system network theory.The theories related to systemic risk are discussed from the following aspects: causes,risk characteristics,risk transmission path and evolution mechanism of systemic risk.For example,the causes include the economic cycle theory and the financial system vulnerability theory,which can be comprehensively explained by the intergenerational amnesia theory,debt-deflation theory and the profit-seeking theory of financial institutions.The fourth part: analysis of the characteristics of China's bond market default.This part is mainly based on the default cases that have occurred in China's bond market to sort out the reasons for default and pave the way for the selection of model indicators.By summing up discovery,the boom of industry downturn,corporate diversification fails,the shareholders background blur,enforcement,internal communication and so on all is a major cause of lead to defaults,with the actual case of a more comprehensive analysis of the reasons of bond defaults,also set the stage for empirical testing index selection,more focused on the inspection index selection.Part five: empirical research on the influencing factors of default.This part selects the data of actual default in the bond market as the sample,which basically covers the time period since the occurrence of default in China's bond market,and the data is highly representative.Influence variables based on the case analysis results in the previous chapter,respectively adopted the debt paying ability,operation ability,profit ability three more can represent enterprise comprehensive strength index,and joined the shareholders background and monetary policy has two virtual variables,combining qualitative and quantitative,more comprehensive depict the various key elements affecting corporate defaults.Part vi: empirical study of contagion effect.This part selects four key industries covering the real economy and finance,namely coal,steel,real estate and banking,and selects ten representative listed enterprises in each industry to study the contagion effect of individuals on the industry.Based on the test results,this paper analyzes the causes of the contagion effect of different types of enterprises,and puts forward effective measures to prevent the contagion of credit risk based on my experience in credit rating.Part seven: empirical study of systemic risk in China.This part mainly studies the risk spillover effect between industries and the risk spillover effect between industries and the market.Coal,steel,real estate and banking are related to each other,so there will be a risk spillover effect.This paper measures the systemic risk between industries and to the market effectively by calculating the risk value of conditions.Part viii: international comparison of market systemic risk.With the development of economic globalization,it is difficult for any country to be immune.This part selects the asiapacific market,the us market and the European market,which are closely related to China's stock market,measures the influence of various countries and regions on China's stock market by the method of quantile regression,explains the reasons in economics,and finally puts forward some Suggestions on preventing inter-country risk contagion.Part ix: conclusion,suggestion and research prospect.This paper summarizes the whole paper,puts forward some Suggestions,and puts forward some research prospects for the improvement space of this paper.Based on the research ideas and analysis of this paper,the following main research conclusions are drawn:First,in the research enterprise individual default factors,based on the empirical research on the asset-liability ratio,sales net interest rate and cash Hui Long Lv to default,debt burden,earnings and cash flow situation all have important effects on whether companies default,and through the case analysis of default default reasons are consistent.In addition,in combination with the judgment of the current economic situation,put forward structural policies to cut overcapacity and deleverage,which is conducive to reducing the default risk of individual enterprises.Secondly,the quantile regression method is used to study the risk spillover effect of individuals to the industry.It is found that the risk contagion effect of coal enterprises is mainly related to shareholder background,resource endowment,location advantage and other factors.Among them,central enterprises have the least individual risk and the least spillover effect on the industry,followed by shanxi,shandong and hebei.The risk spillover effect of the steel industry is mainly related to the cost and freight of iron ore and is greatly affected by local supply and demand.In order of individual enterprise risk and risk spillover effect on the industry,it is found that east China is the least,followed by north China and northeast China,and northwest China is the most at risk.The real estate industry is a capital-intensive industry,and private real estate enterprises operate more aggressively.When financial institutions shrink liquidity,the stability of cash flow is worse,so the risk is greater.State-owned big row with the shareholders background and network advantages all over the country,and get a high quality of customer resources,to be more perfect risk control mechanism,less risk of their own,but in the entire banking industry because of the large state-owned proportion bigger,the scale larger effects on the stability of financial system,so the spillover effects of banking risk is bigger.Third,the study of interindustry contagion effect.Through the research,it is found that coal,steel,real estate and banking industry form granger causality because they are upstream and downstream relations with each other,and downstream pull upstream through demand.In terms of the size of contagion effect,the coal industry has the largest risk spillover effect from the steel industry,followed by the steel industry,and the real estate industry has the smallest.This is mainly because with the extension of the industrial chain,there will be more and more industrial categories,so the upstream industry has a greater risk spillover effect from the downstream industry.In addition,by comparing the contagion effect of various industries on market risks,it is found that the market risk under the risk spillover effect of the coal industry is the least,while the market risk under the risk spillover effect of the banking industry is the most.It is mainly because the financial industry has penetrated into all aspects of China's economy,and the bank is the main industry of finance,so it has the greatest impact on the overall market of China.The coal industry,as one of the industrial categories,plays a smaller role in driving GDP than Banks,real estate and other industries,so it has the least contribution to market risk.Finally,this paper studies the contagion effect of systemic risk between countries.First of all,the stock markets of various countries and regions have a consistent impact on China's stock market risks.Considering the influence of various countries,the size of China's systemic risks varies,but the trend is relatively consistent,indicating that the global economy is highly interconnected and it is difficult for China to stay immune from the crisis.Second,since the United States recovered faster after the financial crisis,the contagion effect of Asian and European region on China's stock market risk lasts longer and should be more focused on prevention.The possible innovations of this paper are summarized as follows:First of all,this paper has carried out a complete analysis of the formation process of systemic risk,with great innovation in terms of research perspective.Domestic and foreign scholars have studied the influencing factors of default,contagion effect and systemic risk to some extent,but most of them only studied from a single aspect,without forming a systematic framework and insufficient control of overall risk prevention.In this paper,combining with the authors years of experience in credit rating,the factors of individual default from the enterprise,in order to industry and country risk spillover effect between each study,by the point and face,step by step in-depth,comprehensive systemic risk in the cause of the formation and accumulation process of each link,is more advantageous to risk prevention policy Suggestions are put forward.Secondly,this paper has great innovation in sample selection.,studies on the influence factors of default based on the actual study of bond defaults,the bond market due to the default starting in 2014,the bond market earlier due to the limited data acquisition of literature research,the general will be special treatment because of the abnormal financial position(that is,the be ST)as the default sample of listed companies,the financial situation compared to normal other companies as samples,actually has some defects on the data selection,this article selects samples from the open market,more accurate data and new research Angle,is more significance to judge the risk of default.Finally,most of the current literature on systemic risk focuses on the study of financial systemic risk,while less on the entity industry.In this paper,coal,steel,real estate and banking,which account for a high proportion of the national economy,are selected innovatively,covering the main real economy and financial sectors in China,and the contagion effect and systemic risk are discussed more comprehensively. |
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