基于关联交易视角的企业集团信用风险研究
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摘要
近年来，国内外企业集团因关联交易陷入财务危机乃至信用风险的案例屡见不鲜，由关联交易而引起的信用风险已成为企业集团发展过程中所面临的重大风险之一。关联交易如何影响企业集团的信用风险？如何有效地控制由关联交易所引发的企业集团信用风险？这些问题已成为企业集团与商业银行共同关注的热点问题。
本文围绕企业集团内部关联交易的特征、企业集团内部关联交易和信用风险之间的内在联系来展开研究。首先，论文定性探讨了关联交易与企业集团信贷风险之间的关系。其次，本文构建基于公司治理的企业集团非公允关联交易的结构方程模型，探讨如何从公司治理水平角度来评价企业集团的非公允交易情况。进一步，本文采用Logistic和SVM模型就关联交易对企业集团信用风险的影响进行实证研究。然后，为了更进一步探讨基于关联交易的企业集团信用风险传导机制，本文构造了一类常见的关联交易对企业集团信用风险的作用机理模型，与此同时，构建了基于关联交易紧密度的企业集团信用风险传染的理论模型，通过多智能体仿真方法进行模拟。最后，本文运用DEMATEL方法进行精选出一套高效精简的评价指标，并采用Logistic模型和突变评价法从关联交易的视角对企业集团的信用风险进行了实证评价和检验。
关联交易是企业集团区别一般企业的重要特征，本文对关联交易与企业集团信用风险之间关系的研究具有十分重要的理论价值与实践意义。鉴于此，本文从关联交易的视角，运用了不同的模型与方法，从理论和实证层面对企业集团内部关联交易和信用风险之间的内在联系进行了研究和刻画。本文的研究结果不仅有益于企业集团控制自身的信用风险，而且也为商业银行等金融机构管理企业集团客户的信用风险提供了新的视角。
In recent years, it is not surprised to see that many domestic and foreign enterprisesfall into financial crisis due to related party transactions.There is no doubt that the creditrisk caused by the related transactions has become one of the important risks,with whichthat enterprise groups have to face during the development process. Therefore, how toeffectively manage and control credit risk caused by the inner related party transactionshave become the common concerns of both enterprise groups and commercial banks.
The problems that this dissertation focuses on are the characteristics of the relatedtransactions and the intrinsic link between related transactions and credit risks of theenterprise groups. The dissertation first explores the relationships between relatedtransactions and the credit risk of the enterprise group.Then in order to explore therelation between non-fair related transactions and corporate governance, this dissertatinbuilds the structural equation model of the enterprise group's non-fair relatedtransactions based on corporate governance. Further, from the perspective of relatedtransactions, Logistic and SVM models are used to study how the related transactionsaffect the enterprise group's credit risk. Additional, in order to study the ransmissionmechanism of the enterprise groups’ credit risk based on related transactions, thisdissertation builds a model based on one ordianary kind of inner related transactions ofenterprise groups; meanwhile the theoretical model of credit risk transmission based onthe strength of the related transactions is constructed and simulated through multi-agentsimulation method. However, in order to build an efficient and simplified indicatorsystem taking related transactions indicators into account, DEMATEL method is uesedto do the indicators selection from the indicator system of credit risk of enterprisegroups based on related transactions.And through the model of Logistc and thecatastrophe evalution method, the importance of the indicators of related transactions tothe credit risk evaluation of Enterprise Group and the validity of the indicators of relatedtransactions are tested and verfied.
From different perspectives, this dissertation uses different models and methods toportray and research on the intrinsic link between the financial crisis and the related credit risk of enterprise groups, from both the theoretical and empirical level. Thisprovides new ideas and methods for Enterprise Group's own financial management andrisk control, as well as the credit risk management of enterprise customers for thecommercial banks and other financial institutions.
本文围绕企业集团内部关联交易的特征、企业集团内部关联交易和信用风险之间的内在联系来展开研究。首先，论文定性探讨了关联交易与企业集团信贷风险之间的关系。其次，本文构建基于公司治理的企业集团非公允关联交易的结构方程模型，探讨如何从公司治理水平角度来评价企业集团的非公允交易情况。进一步，本文采用Logistic和SVM模型就关联交易对企业集团信用风险的影响进行实证研究。然后，为了更进一步探讨基于关联交易的企业集团信用风险传导机制，本文构造了一类常见的关联交易对企业集团信用风险的作用机理模型，与此同时，构建了基于关联交易紧密度的企业集团信用风险传染的理论模型，通过多智能体仿真方法进行模拟。最后，本文运用DEMATEL方法进行精选出一套高效精简的评价指标，并采用Logistic模型和突变评价法从关联交易的视角对企业集团的信用风险进行了实证评价和检验。
关联交易是企业集团区别一般企业的重要特征，本文对关联交易与企业集团信用风险之间关系的研究具有十分重要的理论价值与实践意义。鉴于此，本文从关联交易的视角，运用了不同的模型与方法，从理论和实证层面对企业集团内部关联交易和信用风险之间的内在联系进行了研究和刻画。本文的研究结果不仅有益于企业集团控制自身的信用风险，而且也为商业银行等金融机构管理企业集团客户的信用风险提供了新的视角。
In recent years, it is not surprised to see that many domestic and foreign enterprisesfall into financial crisis due to related party transactions.There is no doubt that the creditrisk caused by the related transactions has become one of the important risks,with whichthat enterprise groups have to face during the development process. Therefore, how toeffectively manage and control credit risk caused by the inner related party transactionshave become the common concerns of both enterprise groups and commercial banks.
The problems that this dissertation focuses on are the characteristics of the relatedtransactions and the intrinsic link between related transactions and credit risks of theenterprise groups. The dissertation first explores the relationships between relatedtransactions and the credit risk of the enterprise group.Then in order to explore therelation between non-fair related transactions and corporate governance, this dissertatinbuilds the structural equation model of the enterprise group's non-fair relatedtransactions based on corporate governance. Further, from the perspective of relatedtransactions, Logistic and SVM models are used to study how the related transactionsaffect the enterprise group's credit risk. Additional, in order to study the ransmissionmechanism of the enterprise groups’ credit risk based on related transactions, thisdissertation builds a model based on one ordianary kind of inner related transactions ofenterprise groups; meanwhile the theoretical model of credit risk transmission based onthe strength of the related transactions is constructed and simulated through multi-agentsimulation method. However, in order to build an efficient and simplified indicatorsystem taking related transactions indicators into account, DEMATEL method is uesedto do the indicators selection from the indicator system of credit risk of enterprisegroups based on related transactions.And through the model of Logistc and thecatastrophe evalution method, the importance of the indicators of related transactions tothe credit risk evaluation of Enterprise Group and the validity of the indicators of relatedtransactions are tested and verfied.
From different perspectives, this dissertation uses different models and methods toportray and research on the intrinsic link between the financial crisis and the related credit risk of enterprise groups, from both the theoretical and empirical level. Thisprovides new ideas and methods for Enterprise Group's own financial management andrisk control, as well as the credit risk management of enterprise customers for thecommercial banks and other financial institutions.
引文
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