Research On Credit Risk Prediction Of Group Enterprises Based On T-GCN

Since the reform and opening-up,many emerging enterprises have sprung up in China,and the form of enterprises is also changing constantly.The market competition is becoming increasingly fierce.In order to cope with the external market competition,many enterprises have begun to improve their competitiveness through joint means.It is against this background that enterprise groups were born.The historical experience of many countries shows that the enterprise groups formed by multiple enterprises have stronger competitiveness and created more economic value through internal cooperation.While the rapid development of enterprise groups brings higher economic benefits,there are also financial security risks.When a credit risk default event occurs in an enterprise group,the risk will be spread through various related ways in the group,which is likely to affect other enterprises in the group,even the entire group,and finally cause a serious blow to the entire social economy.For this reason,the following research has been carried out in this paper:First of all,it clarifies the academic consensus on the three characteristics of the concept of enterprise group: first,the enterprises in the group have an independent enterprise legal person,second,the decision-making power of the group is concentrated in the core enterprises of the enterprise group,and third,the enterprises in the enterprise group are linked together by various formal or informal relationships.Based on these three consensuses,the A-share listed enterprises from 2004 to 2020 were identified by three ways of association,namely,the relationship between senior directors and supervisors,the relationship between supply and cross-shareholding,and the enterprise groups were divided according to the nature of property rights,the division of core layers,and the division of scale.This paper summarizes the development process of enterprise groups in China through the dynamic changes of enterprise group scale,enterprise group level,and enterprise group internal network,and verifies the economic consequences of enterprise group with the method of quantitative analysis.Secondly,whether the listed company is ST(Special Treatment)or not is taken as the measurement label of enterprise credit risk.At the enterprise level,on the basis of the previous research on group enterprise credit risk prediction using financial data to predict risk,combining the characteristics of GCN capturing spatial characteristics and RNN capturing temporal characteristics,a group credit risk prediction model based on T-GCN is constructed,which combines the dynamic internal association(spatial characteristics)of enterprises with the financial data(time characteristics)of enterprises over the years to predict the future credit risk of enterprises,Through comparative experiments,it is found that the model can effectively predict the future credit risk of enterprises and overcome the class imbalance problem.At the group level,a group credit risk evaluation system is established.Based on this evaluation system,the overall risk of Chinese enterprise groups is evaluated,and the dynamic changes of group risk from 2004 to 2020 are described according to the nature of property rights.Through research,the conclusions are as follows:(1)Overview of the development of China’s enterprise groups: The overall size of China’s enterprise groups is increasing.Affected by the policy of deepening the reform of state-owned enterprises,state-owned groups have gradually changed into mixed groups after 2014.Because China’s state-owned and mixed groups mainly focus on traditional industries with a long history of development,large-scale groups mainly focus on traditional industries with a long history of development,while private groups mainly focus on emerging industries,which are frequently updated and cannot continue to expand,leading to China’s large-scale groups mainly focus on state-owned and mixed groups,while private groups mainly focus on small-scale groups.(2)Economic consequences of collectivization: within the scope of state-owned listed enterprises,the performance of enterprises affiliated to the group is significantly improved compared with that of enterprises not affiliated to the group.Due to the stronger risk tolerance of various related relationships,the investment income of investors is also significantly improved.(3)The prediction model built in this paper comprehensively considers the spatial and temporal characteristics,and has achieved good results for the credit risk prediction task of group enterprises.And with the increase of input data time steps,the prediction effect becomes more accurate.(4)Through the group credit risk evaluation system built in this paper,after the risk evaluation at the group level,due to the stability of state-owned enterprises,the risk value of private groups over the years is high and volatile,while the risk value of state-owned and mixed groups is not only low and volatile.The research in this paper reviews the dynamic changes of Chinese enterprise groups in many aspects,helps to understand the characteristics of the times in the development of Chinese enterprise groups,and explores the economic consequences of enterprise groups,and provides ideas for the follow-up research of Chinese enterprise groups.At the same time,from the perspective of the enterprise group,the risk evaluation method has been built at the enterprise level and the group level,which enriches the traditional risk evaluation methods and provides effective investment reference for banks and other investment institutions.