Research On The Internal Risk Contagion Of HNA Group Based On The Copula Model

Large enterprise groups have huge equity structure,many management levels and high difficulty in internal control.Once faced with risks,they often have "domino effect",which makes the whole group in a precarious situation.Therefore,it is of great practical significance to study the risk contagion within the group.As the largest private group in China except Huawei,HNA Group finally went to the end of bankruptcy and reorganization.Its internal equity chain,guarantee chain and related party transaction chain are complex,and the debt problem has always attracted people's attention.Therefore,this paper selects HNA Group as a case study to deeply explore the internal risk contagion of HNA Group.In this paper,eight A-share listed companies of HNA are selected for research.Firstly,KMV model is used to calculate the default distance between the listed companies of HNA Group,and the default distance chart is made to determine the risk contagion within HNA Group.Then,according to the randomness and flexibility of financial market data,Copula function is used to study the tail dependence.A model is established by pairing 28 groups of data from 8 listed companies of HNA Group.The ar-(GJR)garch-student-t model is used to process the stock return series,and the standardized residual series is obtained,and then the tail dependence coefficient is calculated.Finally,according to the calculated tail dependence coefficient matrix,the risk contagion path map of HNA Group is constructed through the minimum spanning tree method,and the key nodes and important characteristics of the risk contagion path within HNA Group are identified.Finally,suggestions and Enlightenment for HNA Group and other enterprises are summarized.Through the above analysis,the results of this paper are as follows:the synchronicity of default risk of eight listed companies of HNA Group is high,which indicates that there is risk contagion in HNA.This paper studies the risk contagion path of HNA Group,and draws the conclusion that HNA innovation is the key node in the risk contagion network,HNA technology and Kaiser tourism are the secondary nodes,and supply and marketing Daji and HNA investment are the slowest points in the risk contagion network.Therefore,in the process of risk prevention within the group,we must pay great attention to strengthening the risk management and control of the relatively small but important companies in the group,because this is the weakest point of risk management and control within the whole group.Once this can be achieved,the risk can be controlled in the previous stage.Secondly,strengthen the risk management of the core enterprises within the group.As the second stage of risk contagion,once the core enterprises are infected,the whole group will be in danger.