Research on Industrial Chain Business Credit Risk Assessment Based on the CoVaR Model
DOI:
https://doi.org/10.63522/jabbs.102011Keywords:
Business credit; Credit value chain; Industrial chain; CoVaR; Risk managementAbstract
In the context of the rapid development of industrial chain finance, traditional static and isolated credit risk assessment methods fail to capture the dynamic and systemic nature of credit risk propagation within industrial chains. This paper focuses on the evaluation and control of credit risk in the business credit value chain. Building on VaR and CoVaR models, it proposes a systemic credit risk quantification framework, further incorporating a LASSO-CoVaR approach to identify credit risk spillovers and marginal effects across interconnected firms. Using the pig industry chain led by Muyuan Foods Co., Ltd as a case study , the paper constructs a credit network and measures topological indicators such as in-degree, out-degree, closeness centrality, betweenness centrality, and eigenvector centrality. Empirical analysis confirms that the structural embeddedness of firms within the credit network significantly influences their risk exposure and systemic transmission potential. Based on the findings, the paper proposes a three-pronged risk mitigation strategy focusing on risk source identification, disruption of transmission paths, and coordinated credit governance. This offers both theoretical insights and practical guidance for financial institutions engaged in credit allocation and risk control within the evolving landscape of industrial chain finance.
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