企业集团客户贷后信用风险识别  

Identifying Post-loan Credit Risk of Enterprise Group Customer

作　　者：蒙肖莲[1] 杨毓[2] 李金林[1] 

机构地区：[1]北京理工大学管理与经济学院 [2]中国建设银行河北省分行,河北石家庄050000

出　　处：《系统工程》2008年第6期52-57,共6页Systems Engineering

基　　金：教育部社科基金资助项目(05JA910003)

摘　　要：初步研究了企业集团客户贷后信用风险识别模型的构建问题,并实证考察了中国三个生产经营型集团的信用风险与其母公司的信用风险之间的关系。由于不能获得这三个生产经营型集团的信用价差数据,本文利用从信用风险评估模型(KMV)获得的预期违约概率构建一种企业集团违约指标作为其信用价差的替代。实证结果发现,在双变量向量自回归模型中,母公司的信用价差并不是企业集团违约指标的格兰杰原因,反之亦然。This paper explores the construction of the identifying model of post-loan credit risk of enterprise group customer and the relationships between the credit risk of three enterprise group customers （T, N and H） and that of the respective parent company. As credit spread data of these enterprise group customers were not available, as a proxy, a new default index of enterprise group customers is created, by using expected default probabilities obtained from the KMV models. The empirical results prove that credit spreads of parent company do not Granger cause default index of the enterprise group and vice versa in a bivariate vector autoregressive （VAR） framework.

关 键 词：客户贷后信用风险识别模型 企业集团违约指标 向量自回归 

分 类 号：F275[经济管理—企业管理]