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中文摘要：
作为商业银行的重要客户,企业集团是多个企业的法人联合体。企业集团内的关联企业违约与否,常常受集团母公司的影响,并且集团内任一企业发生违约,都可能导致集团内其它关联企业发生违约,最终给银行造成巨大的累积信用风险。因此,度量集团内关联企业的违约相关性是银行防范集团客户信用风险的重要环节。基于此,通过将企业集团母公司的资产价值作为影响其控制企业的违约强度公共风险因子,结合违约强度模型,分析这些关联企业的随机违约强度过程,进而得到集团控制下的关联企业违约相关性度量模型。研究表明,企业集团控制下的关联企业违约相关性与母公司持有它们的股权比例成正向变化关系,但是股权比例的变化对违约相关性变化的影响较小。
英文摘要：
An enterprise group is a multi-corporate union.It may consist of a parent company,its subsidiaries,associates and branches.As the major client of commercial bank,a member of enterprise group defaults may lead to the default of the other member of enterprise group.This contagion effect exposes banks to huge cumulative credit risk.It is an important part for banks to control the correlative default risk in enterprise group.Based on the intensity model,we think that the variable of enterprise group＇s asset value is a public factor of the default intensity of the subsidiaries,and design a model for measuring the correlation of default of the related corporations under the control of parent company.The research shows that default correlation of the related corporations positive with the ratio of equity holding by the parent company,but the impact of the change in equity holding ratio isn＇t significant.
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