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Debt risk analysis of non-financial corporates using two-tier networks

Yuan Cao (University of Chinese Academy of Sciences, Beijing, China)
Desheng Wu (University of Chinese Academy of Sciences, Beijing, China) (Stockholm University, Stockholm, Sweden)
Lei Li (University of Chinese Academy of Sciences, Beijing, China)

Industrial Management & Data Systems

ISSN: 0263-5577

Article publication date: 24 February 2020

Issue publication date: 18 July 2020

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Abstract

Purpose

Non-financial corporate debt is one of the important sources of systematic risk in the real economy. Assessing a measure of systematic risk in corporation debt is currently a key challenge. In this regard, we propose a two-tier risk contagion networks model.

Design/methodology/approach

Assessing a measure of systematic risk in corporation debt is currently a key challenge. In this regard, we propose a two-tier risk contagion networks model based on four dimensions: concept definition, data structure, risk contagion network construction, and risk measurement indicators construction. We take the Jiangsu bond issuer guarantee network as a sample area.

Findings

Taking the Jiangsu bond issuer guarantee network as a sample area, we find that there is a strong correlation between the debts of non-financial corporation in China, and it is easy to become a potential regional systematic risk source. In addition, our empirical research also reveals that external risk exposure and node degree of network are two key indicators when identifying key risk-contagion enterprises.

Originality/value

The main contributions of this study are two-fold. First, this article proposes a two-tier risk contagion networks model to measure systematic risk in non-financial corporation. Second, this article describes the structure of the corporate risk contagion network.

Keywords

Acknowledgements

This work was supported in part by the Ministry of Science and Technology of China under Grant 2016YFC0503606, in part by the National Natural Science Foundation of China under Grant 71825007, in part by the Chinese Academy of Sciences Frontier Scientific Research Key Project under Grant QYZDB-SSW-SYS021, in part by the Marianne and Marcus Wallenberg Foundation under Grant MMW 2015.0007, in part by the Strategic Priority Research Program of CAS under Grant XDA23020203 and supported by the International Partnership Program of Chinese Academy of Sciences, Grant No.211211KYSB20180042.

Citation

Cao, Y., Wu, D. and Li, L. (2020), "Debt risk analysis of non-financial corporates using two-tier networks", Industrial Management & Data Systems, Vol. 120 No. 7, pp. 1287-1307. https://doi.org/10.1108/IMDS-09-2019-0495

Publisher

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Emerald Publishing Limited

Copyright © 2019, Emerald Publishing Limited

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