企业集团违约风险效应的传染研究

Study on the Contagion Effect of Default Risk in Enterprise Groups

摘要: 针对企业集团内部因股权关联紧密而产生的违约风险传染问题，以及传统违约预测模型忽略公司间违约相关性的局限，本文以2009~2021年中国沪深A股集团控股上市公司为研究样本，基于复杂网络理论与生存分析方法，依据“风险修复–风险传染–环境干扰”三机制，构建传染变量与离散危险率模型，以此来系统的探究企业集团违约风险的传染效应与预测优化路径。

Abstract: In view of the problem of default risk contagion within enterprise groups due to close equity ties, and the limitation of traditional default prediction models that ignore the correlation of defaults between companies, this article uses China’s Shanghai and Shenzhen A-share group-controlled listed companies from 2009 to 2021 as a research sample. Based on complex network theory and survival analysis methods, and based on the three mechanisms of “risk repair-risk contagion-environmental interference”, a contagion variable and discrete hazard rate model is constructed to systematically explore the contagion effect and prediction optimization path of enterprise group default risks.