Study on contagion of debt default risk of the secured party in the guarantee chain—From the perspective of small and medium-sized enterprises

Abstract

In the process of financing, small and medium-sized enterprises obtain funds through mutual guarantee, joint guarantee and other forms to form a guarantee chain. On the guarantee chain, the debt default risk caused by the guaranteed enterprise failing to pay off the debt according to the agreed time will infect the guarantee enterprise and affect the operation of the guarantee chain capital. This paper takes the guaranteed enterprise as the research object, and based on the characteristics of the guarantee chain business process, defines the asset-liability ratio of the guaranteed enterprise, the degree of information disclosure, the profitability and the guarantee rate of the guaranteed enterprise's net assets and other influencing factors, and uses the hidden Markov with the characteristics of state transfer to construct the default risk contagion model of the guarantee chain debt. To measure the influence degree of debt default risk contagion of the guaranteed enterprise. It is found that the asset-liability ratio and the guarantee ratio of net assets are positively correlated with the contagion intensity of the debt default risk of the guaranteed enterprise, while the degree of information disclosure and profitability are negatively correlated with the contagion intensity of the debt default risk of the guaranteed enterprise.