管理评论

管理评论 ›› 2023, Vol. 35 ›› Issue (10): 251-267.

• 组织与战略管理 • 上一篇    下一篇

基于企业股权关系知识图谱的制造业信用风险传染分析

彭尧1, 张玲玲1,2,3, 邓智斌1, 叶含瑞1   

  1. 1. 中国科学院大学经济与管理学院, 北京 100190;
    2. 中国科学院大学数字经济监测预测预警与政策仿真教育部哲学社会科学实验室, 北京 100190;
    3. 中国科学院大数据挖掘与知识管理重点实验室, 北京 100190
  • 收稿日期:2021-11-24 出版日期:2023-10-28 发布日期:2023-11-27
  • 通讯作者: 张玲玲（通讯作者），中国科学院大学经济与管理学院教授，中国科学院大学数字经济监测预测预警与政策仿真教育部哲学社会科学实验室研究员，中国科学院大数据挖掘与知识管理重点实验室研究员，博士生导师，博士。
  • 作者简介:彭尧，中国科学院大学经济与管理学院硕士研究生；邓智斌，中国科学院大学经济与管理学院副教授，博士；叶含瑞，中国科学院大学经济与管理学院硕士研究生。
  • 基金资助:
    国家自然科学基金面上项目（72071194）；中国科学院大学数字经济监测预测预警与政策仿真教育部哲学社会科学实验室（培育）基金资助（E2810801）。

Analysis of Credit Risk Contagion Based on the Knowledge Graph of Enterprise Equity Relations

Peng Yao1, Zhang Lingling1,2,3, Deng Zhibin1, Ye Hanrui1   

  1. 1. School of Economics and Management, University of Chinese Academy of Sciences, Beijing 100190;
    2. MOE Social Science Laboratory of Digital Economic Forecasts and Policy Simulation at UCAS, Beijing 100190;
    3. Key Laboratory of Big Data Mining and Knowledge Management, Chinese Academy of Sciences, Beijing 100190
  • Received:2021-11-24 Online:2023-10-28 Published:2023-11-27

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摘要： 制造业由于其内部企业众多，与其他行业交易来往密切，形成了错综复杂的关联关系，导致信用风险在其中具有明显的传染性。本文基于现有的研究，以知识图谱作为研究工具，从新的角度探讨了制造业信用风险传染。首先，本文构建了所需的企业股权关系知识图谱；然后，基于构建的知识图谱进行信用风险传染路径分析，针对得到的直接、间接信用风险传染路径，建立不同的风险传染模型；最后，通过蒙特卡洛模拟实验，发现在直接持股情况下，信用风险传染强度不仅和持股比例有关，也随着正常企业资产负债率、（失信、正常）企业资产规模比以及企业资产价值相关系数的增加出现增长的趋势；而在间接持股情况下，目标企业信用风险传染强度随着中间企业资产规模、中间企业资产负债比、中间企业-失信企业持股比例、目标企业资产负债率的增加出现增长趋势；但是受失信企业资产规模、目标企业-中间企业持股比例、资产价值相关系数的影响较小，并没有明显的相关性。

关键词: 信用风险传染, 股权知识图谱, 传染路径

Abstract: Credit risk is easily contagious in manufacturing industry where the large number of enterprises and their frequent interactions and transactions with outside enterprises lead to a complex relationship. Based on the existing researches, this paper uses knowledge graph as a research tool to explore the credit risk contagion in manufacturing industry from a new perspective. Firstly, this paper constructs the required equity relationship knowledge graph; then, the credit risk contagion path is analyzed based on the constructed knowledge graph, and different risk contagion models are established for the obtained direct and indirect credit risk contagion paths; finally, through Monte Carlo simulation experiments, we find that in the case of direct shareholding, the contagion intensity of credit risk is not only related to the shareholding ratio, but also increases with the increase of the asset liability ratio of normal enterprises, enterprises/normal enterprises’ asset scale ratio and the correlation coefficient of enterprise asset value. Under indirect shareholding, the contagion intensity of credit risk of target enterprises increases with the increase of asset scale of intermediate enterprises, asset liability ratio of intermediate enterprises, shareholding ratio of intermediate enterprises to dishonest enterprises and asset liability ratio of target enterprises. However, it is less affected by asset scale of dishonest enterprises, shareholding ratio of target enterprises to intermediate enterprises and asset value correlation coefficient, and there is no obvious correlation.

Key words: contagion of credit risk, equity knowledge graph, propagation path