| 基于关联交易的企业集团信用风险研究 |
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| 引用本文： | 杨扬,费文颖,周宗放. 基于关联交易的企业集团信用风险研究[J]. 技术经济, 2013, 0(4): 94-99 |
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| 作者姓名： | 杨扬 费文颖 周宗放 |
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| 作者单位： | [1]电子科技大学经济与管理学院,成都610054 [2]南开大学公司治理研究中心,天津300071 |
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| 基金项目： | 国家自然科学基金项目“企业集团内关联信用风险的传染机理与演化特征研究”（70971015）;国家自然科学基金项目“关联信用风险演化结构与传染机理研究”（701271043）;高等学校博士学科点专项科研基金项目“基于交易关联和资产关联的信用风险传染系统建模与仿真研究”（20110185110021） |
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| 摘 要： | 基于合作博弈理论构建了企业集团关联交易基本模型,刻画了企业集团的公允关联交易以及两种广泛存在的、典型的非公允关联交易行为。利用一类Survival Copula函数刻画了不同类型关联交易下的企业集团信用风险,从理论上阐明了关联交易影响企业集团信用风险的基本机制。研究结果表明:通过关联交易"掏空"母公司的行为会使企业集团的信用风险显著增加;存在最优内部资源配置方式可使企业集团的信用风险水平最低。
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| 关 键 词： | 企业集团 关联交易 信用风险 合作博弈 SurvivalCopula函数 |
Research on Credit Risk of Business Group Based on Related Party Transaction |
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| Yang Yang,Fei Wenying,Zhou Zongfang. Research on Credit Risk of Business Group Based on Related Party Transaction[J]. Technology Economics, 2013, 0(4): 94-99 |
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| Authors: | Yang Yang Fei Wenying Zhou Zongfang |
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| Affiliation: | 1. School of Management and Economics, University of Electronic Science and Technology of China, Chengdu 610054, China; 2. Research Center of Corporate Governance, Naikai University, Tianjin 300071,China) |
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| Abstract: | This paper constructs a basic model of business group＇s related party transaction based on the cooperative game theory, and depicts fair and unfair related party transactions of business group. Then it depicts the credit risk of business group in different kinds of related party transaction by using a Copula function, and analyzes theoretically the influence of related party transaction on credit risk of business group. The results show that tunneling would increase the credit risk significantly, and there is an optimal resource allocation that could make the credit risk to be the lowest level. |
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| Keywords: | business group related party transaction credit risk cooperative game Survival Copula function |
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