Influence of ESG on Contagion of Credit Risk Based on Scale-free Networks
LIU Xuejuana, ZHANG Jingyia, CAO Huib
a. School of Economics and Management; b. School of Resources and Safety Engineering, Beijing University of Science and Technology, Beijing 100083, China
Abstract：In order to discover the influence of ESG score on the evolution of enterprise-associated credit risk, this paper proposed a contagion model of enterprise-associated credit risk considering ESG score based on the mean field theory of heterogeneous network, and the simulation is carried out based on the BA scale-free network. The study found that improving the ESG score is important for controlling the contagion of associated credit risk. Increasing the ESG score of such enterprises when their influence is weak is beneficial for suppressing the number of enterprises affected by associated credit risk. Increasing the ESG score of such enterprises when their influence is large is favorable for reducing the speed of associated credit risk contagion. Additionally, increasing the proportion of the ESG score in corporate credit evaluation indicators is also beneficial for controlling the credit risk contagion.
刘学娟, 张静怡, 曹辉. 无标度网络下ESG评分对信用风险传染的影响[J]. 复杂系统与复杂性科学, 2025, 22(4): 8-14.
LIU Xuejuan, ZHANG Jingyi, CAO Hui. Influence of ESG on Contagion of Credit Risk Based on Scale-free Networks[J]. Complex Systems and Complexity Science, 2025, 22(4): 8-14.
[1] 钱茜, 周勇, 晁祥瑞. 考虑关联关系交互作用的企业间信用风险传染研究[J]. 系统工程理论与实践, 2022, 42(1): 3745. QIAN Q, ZHOU Y, CHAO X R. Research on credit risk contagion considering the interaction of relationships[J]. Systems Engineering-Theory & Practice, 2022, 42(1): 3745. [2] 汤淼,范宏. 具有CDS的动态多层网络银行系统性风险研究[J]. 复杂系统与复杂性科学, 2024, 21(3): 5561. TAND M, FAN H. Investigating banking systemic risk of dynamic multilayer networks with CDS[J].Complex Systems and Complexity Science, 2024, 21(3): 5561. [3] 徐超, 周宗放. 中小企业联保贷款信用行为演化博弈仿真研究[J]. 系统工程学报, 2014, 29(4): 477486. XU C, ZHOU Z F. The evolutionary game simulation on credit behavior of SME’s guaranteed loans[J]. Journal of Systems Engineering, 2014, 29(4): 477486. [4] SUI X, LI L.Guarantee network model and risk contagion[J]. Chaos, Solitons and Fractals, 2018, 106: 323329. [5] WANG L, LI S W, WU C Q. Risk contagion in inter-firm credit guarantee network[J]. Physica A: Statistical Mechanics and Its Applications, 2019, 526(C): 120842. [6] 王磊, 李守伟, 陈庭强, 等. 基于企业行为偏好的企业间信用担保网络与风险传染研究[J]. 中国管理科学, 2022, 30(2): 8093. WANG L, LI S W, CHEN T Q, et al. Inter—firm credit guarantee network and risk contagion based on enterprise behavior preference[J]. Chinese Journal of Management Science, 2022, 30(2): 8093. [7] JORION P, ZHANG G.Credit contagion from counterparty risk[J]. The Journal of Finance, 2009, 64(5): 20532087. [8] CHAKRABARTY B, ZHANG G. Credit contagion channels: market microstructure evidence from Lehman Brothers′ bankruptcy[J]. Financial Management, 2012, 41(2): 318342. [9] 陈庭强, 王磊, 曾倩茹. 基于银企信用网络的交易对手风险传染研究[J]. 金融发展研究, 2019(2): 3238. CHEN T Q, WANG L, ZENG Q R. Research on counterparty risk contagion based on bank-enterprise credit network[J]. Journal of Financial Development Research, 2019(2): 3238. [10] GIESECKE K, WEBER S. Credit contagion and aggregate losses[J]. Journal of Economic Dynamics and Control, 2005, 30(5): 741767. [11] 徐凯, 周宗放, 钱茜, 等.考虑个体保护意识的关联信用风险传染机理研究[J]. 运筹与管理, 2020, 29(12): 197206. XU K, ZHOU Z F, QIAN Q, et al. Study on the contagion mechanism of associated credit risk with individual protection awareness[J]. Operations Research and Management Science, 2020,29(12):197206. [12] GILLAN S L, KOCH A, STARKS L T. Firms and social responsibility: a review of ESG and CSR research in corporate finance[J]. Journal of Corporate Finance, 2021, 66(1): 116. [13] OIKONOMOU I. BROOKS C. PAVELIN S. The impact of corporate social performance on financial risk and utility: a longitudinal analysis[J]. Financial Management, 2012, 41(2): 483515. [14] VALDIS D. The European Commission’s action plan on sustainable finance: promoting a sustainable future in the European Union and beyond[J]. Financial Stability Review, Banque de France, 2019, 23 (9): 7783. [15] GAO F, LI Y, WANG X, et al. Corporate social responsibility and the term structure of CDS spreads[J]. Journal of International Financial Markets, Institutions & Money, 2021, 74(1): 121. [16] SELTZER L H, STARKS L, ZHU Q. Climate regulatory risk and corporate bonds[DB/OL].[20230915]. https://www.nber.org/papers/w29994. [17] STELLNER C, KLEIN C, ZWERGEL B. Corporate social responsibility and eurozone corporate bonds: the moderating role of country sustainability[J]. Journal of Banking & Finance, 2015, 59(1): 538549. [18] BANNIER C E, BOFINGER Y, ROCK B. Corporate social responsibility and credit risk[J]. Finance Research Letters, 2022, 44(1): 18. [19] LI H, ZHANG X, ZHAO Y.ESG and firm′s default risk[J]. Finance Research Letters, 2022,47: 111. [20] 徐忠朴,李科赞.一类含个体意识的SIS网络传播模型的分析[J]. 桂林电子科技大学学报, 2014, 34(6): 503508. XU Z P, LI K Z. Analysis of an SIS network epidemic model with individual awareness[J]. Journal of Guilin University of Electronic Technology, 2014, 34(6): 503508. [21] 张明东, 李科赞.一类具有社团结构的传播网络的阈值分析[J]. 桂林电子科技大学学报, 2014, 34(6): 494502. ZHANG M D, LI K Z. Threshold analysis of a spreading network with community structure[J]. Journal of Guilin University of Electronic Technology, 2014, 34(6): 494502. [22] 陈庭强, 王杰朋, 杨晓光. 双层耦合网络下CRT市场交易对手信用风险传染演化模型研究[J]. 中国管理科学, 2023, 31(4): 260274. CHEN T Q, WANG J M, YANG X G. Bilayer-coupled network evolution model of counterparty credit risk contagion in the CRT market[J]. Chinese Journal of Management Science, 2023, 31(4): 260274. [23] PASTOR-SATORRAS R, VESPIGNANI A.Epidemic spreading in scale-free networks[J]. Physical Review Letters, 2001, 86(14): 32003203. [24] BARABASI A L, ALBERT R. Emergence of scaling in random networks science[J]. Science, 1999, 286(5439): 509512. [25] QIAN Q, YANG Y, GU J, et al. Information authenticity, spreading willingness and credit risk contagion-a dual-layer network perspective[J]. Physica A: Statistical Mechanics and Its Applications. 2019, 536(C): 122519.
