Journal article
Credit risk transfer in SME loan guarantee networks
Journal of systems science and complexity, Vol.30(5), pp.1084-1096
10/2017
DOI: 10.1007/s11424-017-5211-z
Abstract
Joint loan guarantee contracts and mutual guarantee contracts among SMEs form the basis of SME guarantee networks. The expansion of these networks increases the fragility of a financial system as a result of the regional and industrial risk contagion embedded within them. By providing a theoretical framework of a loan guarantee network, a method is proposed for calculating the amount of risk spillover caused by loan guarantees taking the perspective of the entire network. In addition, the route of risk contagion in guarantee networks is analyzed, revealing that when default risk shocks occur, risk contagion travels along the nodes not once but for several rounds and that the risk control of one firm cannot prevent these systemic risks. Therefore, a risk control scheme is designed based on the location and importance of firms in the network. Using data from a real guarantee network, we demonstrate that identifying the node locations of firms’ in the guarantee network (including the coritivity and closeness of the firm) can help in understanding risk contagion mechanisms and preventing systemic credit risk before a crisis occurs.
Details
- Title: Subtitle
- Credit risk transfer in SME loan guarantee networks
- Creators
- Aolin Leng - School of Management Xi’an Jiaotong University Xi’an 710049 ChinaGuangyuan Xing - School of Economics and Finance Xi’an Jiaotong University Xi’an 710061 ChinaWeiguo Fan - Pamplin College of Business Virginia Tech 24060 USA
- Resource Type
- Journal article
- Publication Details
- Journal of systems science and complexity, Vol.30(5), pp.1084-1096
- Publisher
- Academy of Mathematics and Systems Science, Chinese Academy of Sciences
- DOI
- 10.1007/s11424-017-5211-z
- ISSN
- 1009-6124
- eISSN
- 1559-7067
- Language
- English
- Date published
- 10/2017
- Academic Unit
- Business Analytics
- Record Identifier
- 9984083831502771
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