The Study Of The Delayed Effect Of The Credit Risk In The Enterprise Group

In2011, according to the list of top500Chinese enterprises announced by theChina Enterprise Confederation and the China Enterprise Directors Association, morethan90%of the enterprises are enterprise group. Therefore, Enterprise Group plays apivotal role in China’s social and economic development and they are facing a gooddevelopment environment and opportunities.Enterprise Group has the characteristics of huge capital requirement and significanteconomies of scale. It always has the attention of the commercial banks and thecommunity. But due to Enterprise Group’s large scale and its frequent internaltransactions and interactions, it formed a complex web of complex network. Thereforethe credit risk of the enterprise group has the features of hidden and delayed. When onesubsidiary breaks a contract, the Enterprise Group could transfer it to other subsidiary.Thereby the credit risk exposure is delayed. Once exposed, losses of both the enterprisegroups and society are immeasurable.Based on the operational characteristics of the Enterprise Group, the organizationalstructure and the infection process of credit risk, this thesis researches the delayedeffects of the credit risk of the enterprise group from the following aspects:First, analyze of the reasons of the delayed effects of credit risk of the enterprisegroup. It attributed to the complex relationship between the specific organizationalstructure of enterprise groups and member companies. This thesis’s research focus onrelated party transactions between the member companies of enterprise groups, and takethe members of enterprises as a whole organic system which informed an internalnetwork. Members of enterprises are deemed nodes which are connected to each other.Each node has the ability of handling, processing and decision-making about theinformation passed from other node.Secondly, from a black box perspective this thesis preliminary research the factorsaffect delayed effects of the credit risk of the enterprise group. Combined with theprinciple of system dynamics we analyzed the relationship between the EnterpriseGroup’s overall factors, characteristic factors, internal and external factors and the delayed effects. We also create a model and simulation of the process of risks delayedeffects. The study found that the external environment, the stability of cash flows andthe level of effort will affect the strength of the risk delayed effects of the EnterpriseGroup.Furthermore, we research more in-depth starting from the internal structure of theEnterprise Group within focusing on the relationship between the members of theenterprise and embedded in the network structure model then we research related partytransactions, and the credit risk of the enterprise group based on multi-agent simulation.The research results show that the size of the enterprise group and the tightness ofinternal relationships will greatly affect the intensity of the credit risk delayed effects ofthe enterprise Group.Finally, based on a simplified model we create a credit risk delay simulation modelembedded the risk transmission model of the enterprise group. Then we have asimulation of this process by multi-agent simulation method. derived by thesimulation, we have the following results: there is a negative relationship between thebeginning default ratio and the strength of delayed effects of the credit risk; therelationship between the strength of delayed effects and the intensity associatedrelationship is a convex curve. There is a Reasonable range which can make the riskdelay effect remain in a higher level.