Abstract
Enterprise group’s credit risk has obviously infectious character because of its large number of companies, complex share relation and invisible associated business. The number of low credit rating companies within enterprise group and its variance directly reflects credit contagion trend in group. Combined with graph theory and epidemiological point of view, this paper firstly analyzed credit risk contagion process in group, then proposed a stochastic credit contagion model for enterprise group and gave an example for its application. In order to get the way of controlling infection, we took sensitivity analysis for principal parameters. Our results showed that reducing risk correlation degree and risk inflectional coefficient was effective to prevent credit contagion.
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Acknowledgments
This research is supported by National Natural Science Foundation of China (70971015, 11061041), Natural Science Fund of Yunnan Province (2010ZC063, 2010ZC079) and Scientific Research Foundation of Yunnan Province Education Office (2011C109).
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Xiao, L., Li, L., Xiao, J. (2013). Stochastic Credit Contagion Model for Enterprise Group. In: Zhong, Z. (eds) Proceedings of the International Conference on Information Engineering and Applications (IEA) 2012. Lecture Notes in Electrical Engineering, vol 216. Springer, London. https://doi.org/10.1007/978-1-4471-4856-2_32
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DOI: https://doi.org/10.1007/978-1-4471-4856-2_32
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