本文選題：中小企業(yè)信用共同體 + 信用風險�。� 參考：《電子科技大學》2015年博士論文

【摘要】：隨著經濟全球化的發(fā)展,中小企業(yè)已經成為全球經濟中最為活躍的部分。中小企業(yè)不僅支持了經濟社會的發(fā)展,而且對于推動科技創(chuàng)新也發(fā)揮著不可替代的作用。由于中小企業(yè)在金融資源獲取方面沒有與其貢獻相匹配,因此,中小企業(yè)融資難問題成為世界各國積極探索和研究的課題。當前,我國正處于戰(zhàn)略轉型的關鍵歷史時期,經濟發(fā)展也進入到“新常態(tài)”,盡管政府和金融機構先后也出臺了多項政策措施,力求提升中小企業(yè)的融資能力,但由于我國中小企業(yè)的自身經營管理和風險管控能力均較為薄弱,加之金融危機對于宏觀經濟環(huán)境的影響余波未平,中小企業(yè)的融資困境依然嚴峻。為了破解中小企業(yè)的融資瓶頸,“中小企業(yè)信用共同體”(Credit Community of Small and Medium-sized Enterprises,CCSME)融資模式應運而生。中小企業(yè)信用共同體(以下簡稱CCSME)通過橫向監(jiān)督、懲罰激勵以及互相擔保等機制,不僅有效降低了企業(yè)與銀行之間的信息不對稱和中小企業(yè)的融資成本,而且為銀行提供了一些優(yōu)質的貸款項目,實現了互利共贏的美好局面。在CCSME融資業(yè)務在全國范圍內如火如荼地開展的同時,CCSME集體違約事件也頻繁見諸于報端。CCSME緣何從防控風險的“保險鎖”變成為信用風險傳染的“導火索”?該問題成為學術界和業(yè)界關注的熱點問題。迄今為止,國內外相關文獻關于CCSME的探討,大多限于農戶或個體借貸者的聯(lián)保貸款,對CCSME的研究也主要集中在可行性分析方面。由于CCSME整體的信用風險主要源于其內部成員企業(yè)的信用行為和成員企業(yè)之間的交互作用與影響,因此,CCSME成員企業(yè)的信用行為及其交互作用和CCSME內關聯(lián)信用風險是影響CCSME整體信用風險的關鍵,然而,目前關于這方面的研究極為鮮見�；诖�,本文針對上述問題展開深入研究,探索CCSME成員企業(yè)信用行為的演化規(guī)律和相互作用機理,并在此基礎上探究CCSME內關聯(lián)信用風險的傳染效應以及CCSME的組織規(guī)模和關聯(lián)結構對CCSME整體信用風險的影響機理。本文的研究不僅對CCSME成員企業(yè)的信用行為和CCSME內關聯(lián)信用風險進行了刻畫,而且對有效地降低CCSME的整體信用風險和完善CCSME融資模式提供重要的理論依據。本文的主要創(chuàng)新和特色在于緊密結合我國CCSME融資模式的實際情況,從行為科學和復雜系統(tǒng)視角出發(fā),采用理論推導和模擬仿真相結合的方法,從微觀和宏觀兩個維度對CCSME成員企業(yè)信用行為及其交互作用和CCSME內關聯(lián)信用風險的傳染效應展開研究,并為防控CCSME整體信用風險的爆發(fā)提供了相應的對策建議。本文的創(chuàng)新性工作體現在以下三個方面:第一,從行為科學視角出發(fā),探究CCSME成員企業(yè)信用行為的演化機理。目前關于CCSME信用風險的研究,常常忽略了成員企業(yè)的信用行為所具有的有限理性特征,更沒有反映成員企業(yè)之間的交互作用與影響。基于此,本文通過構建CCSME成員企業(yè)信用行為的演化博弈模型,對于成員企業(yè)之間信用行為的交互作用與影響進行了框架性描述與設定。進一步,分別基于前景理論(Prospect Theory,PT)和經驗權重魅力值(Experience Weighted Atrraction,EWA)學習模型對于成員企業(yè)履約策略選擇的偏好和信念進行刻畫,討論了在有限理性條件下,CCSME成員企業(yè)信用行為之間的交互作用對CCSME整體信用風險的影響機理。第二,從復雜系統(tǒng)視角出發(fā),研究CCSME內關聯(lián)信用風險的傳染效應。鑒于CCSME內關聯(lián)信用風險傳染系統(tǒng)屬于典型的復雜自適應系統(tǒng),因此,本文借鑒復雜系統(tǒng)研究的相關理論和方法對其進行研究。利用元胞自動機(Celluar Automata,CA)模型對于CCSME內關聯(lián)信用風險的傳染機理和過程進行研究,并將CA模型嵌入適合度景觀理論(Fitness Landscape Theory,FLT)對成員企業(yè)交互行為進行刻畫,進而構建CANK模型探討CCSME的規(guī)模和關聯(lián)結構對CCSME整體信用風險的影響效應。最后,在針對CCSME典型模式所建立的復雜網絡模型的基礎上,引入極值動力學(Bak-Sneppen,BS)模型探討了末位淘汰機制對于提高CCSME整體信用水平的作用。第三,將基于主體(Agent-based,AB)的建模思想和計算實驗金融(Agent-based Computational Finance,ACF)的方法引入CCSME成員企業(yè)信用行為演化機理和關聯(lián)信用風險傳染效應的研究中,從CCSME成員企業(yè)的交互作用和影響出發(fā),采用由下而上的建模方法,設計成員企業(yè)的信用行為,構建理論模型并進行模擬仿真,不僅有效地克服了傳統(tǒng)方法的不足,而且與傳統(tǒng)方法相互補充,提高了分析金融復雜系統(tǒng)的能力。另外,本文嘗試將理論模型進行嵌套組合構建了復合模型。例如:第六章所構建的復合CA模型對于關聯(lián)信用風險傳染系統(tǒng)的刻畫更加貼近現實;第七章所構建的CANK模型使兩種模型的優(yōu)勢與特點均得到充分的發(fā)揮。本文將仿真模型進行有機組合后所構建的復合模型能夠揚長避短,對于更好地刻畫和模擬金融復雜系統(tǒng)具有一定的借鑒意義。
[Abstract]:With the development of economic globalization, small and medium enterprises have become the most active part of the global economy. Small and medium-sized enterprises not only support the development of economic society, but also play an irreplaceable role in promoting scientific and technological innovation. The problem of financing difficulty has become the subject of active exploration and research of all countries in the world. At present, China is in the key historical period of strategic transformation, and the economic development has also entered a "new normal". Although the government and financial institutions have also introduced a number of policies and measures to improve the financing capacity of small and medium-sized enterprises, but because of the small and medium-sized enterprises of our country The ability of personal management and risk management is weak, and the impact of the financial crisis on the macroeconomic environment remains uncommon, and the financing dilemma of small and medium-sized enterprises is still severe. In order to solve the financing bottleneck of small and medium-sized enterprises, "Credit Community of Small and Medium-sized Enterprises, CCSME" financing The model came into being. The SME credit community (hereinafter referred to as CCSME) through the lateral supervision, punishment incentive and mutual guarantee mechanism, not only effectively reduce the information asymmetry between enterprises and banks and the financing costs of small and medium-sized enterprises, but also provide some high-quality loan projects for the banks to achieve a better win-win situation. Situation. While the CCSME financing business is in full swing throughout the country, the CCSME collective default events are also frequently seen in the newspaper.CCSME why the "insurance lock" from the prevention and control risk is turned into a "fuse" for the contagion of credit risk? This problem has become a hot issue in the academic and industry. So far, domestic and foreign related The literature about CCSME is mostly limited to the loan of the farmers or individual borrowers, and the research on the CCSME is mainly concentrated on the feasibility analysis. Because the credit risk of the whole CCSME is mainly derived from the credit behavior of the internal members and the interaction and influence between the member enterprises, the credit line of the CCSME member enterprises It is the key to influence the overall credit risk of CCSME and its interaction and CCSME. However, the current research on this aspect is very rare. Based on this, this paper makes an in-depth study on the above problems to explore the evolution and interaction mechanism of the credit behavior of the CCSME member enterprises, and to explore the inside of CCSME on this basis. The effect of related credit risk and the influence mechanism of CCSME's organization scale and related structure on the overall credit risk of CCSME. This paper not only portrays the credit behavior of the CCSME member enterprises and the associated credit risk within the CCSME, but also provides the effective reduction of the whole credit risk of CCSME and the perfect CCSME financing mode. The main innovation and characteristic of this paper is to combine the actual situation of CCSME financing model in our country closely. From the perspective of behavioral science and complex system, the combination of theoretical deduction and Simulation simulation is adopted in the two dimensions of CCSME members' credit behavior and its interaction and CCSME inner customs from the micro and macro dimensions. The contagious effect of joint credit risk is studied and the corresponding countermeasures and suggestions are provided for the prevention and control of the CCSME overall credit risk. The innovative work of this paper is embodied in the following three aspects: first, from the perspective of behavioral science, this paper explores the mechanism of the credit behavior of the CCSME member enterprises. At present, the research on the credit risk of CCSME is often studied. It often ignores the limited rational characteristics of the credit behavior of the member enterprises, and does not reflect the interaction and influence of the member enterprises. Based on this, this paper constructs a framework of the evolution game model of the credit behavior of the CCSME member enterprises, and gives a framework description and establishment of the interaction and influence of the credit behavior among the member enterprises. Further, based on the Prospect Theory (PT) and the Experience Weighted Atrraction (EWA) learning model, the preference and belief of the performance strategy selection of the member enterprises are depicted, and the interaction of the credit behavior between the CCSME members is discussed under the limited rationality. Second, from the perspective of complex system, we study the contagious effect of associated credit risk within CCSME. In view of the CCSME related credit risk contagion system is a typical complex adaptive system, this paper uses the related theory and method of complex system research to study it by using the cellular automata (Celluar). Automata, CA) model studies the transmission mechanism and process of associated credit risk in CCSME, and embeds CA model into fitness landscape theory (Fitness Landscape Theory, FLT) to describe the interaction behavior of member enterprises, and then constructs CANK model to explore the effect of the scale of CCSME and the influence of association structure on the overall credit risk of CCSME. Finally, on the basis of the complex network model established in the typical CCSME model, the Bak-Sneppen (BS) model is introduced to explore the effect of the final elimination mechanism on improving the overall credit level of CCSME. Third, the modeling idea based on the Agent-based (AB) and the computational experimental finance (Agent-based Computational Finance) are used. In the study of the evolution mechanism of CCSME members' credit behavior and the contagious effect of associated credit risk, the method of ACF), starting from the interaction and influence of the CCSME member enterprises, uses a bottom-up modeling method to design the credit behavior of the member enterprises, constructs the theoretical model and carries out simulation simulation, not only effectively overcome the traditional side. The deficiency of the method and complementary to the traditional methods improve the ability to analyze the complex financial system. In addition, this paper tries to construct a composite model with the nested combination of the theoretical models. For example, the complex CA model constructed in the sixth chapter is more close to the reality of the related credit risk infection system; the seventh chapter constructs the model of the model. The advantages and characteristics of the two models are fully exerted. The composite model constructed by the organic combination of the simulation model in this paper can develop the advantages and avoid weaknesses, and has certain reference significance for the better depiction and Simulation of the complex financial system.

【學位授予單位】：電子科技大學
【學位級別】：博士
【學位授予年份】：2015
【分類號】：F276.3;F275
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本文編號：1831310