基于复合期权、篮子期权及股权关系的企业集团母公司信用风险度量研究  

Evaluation Credit Risk of an Enterprise Group's Parent Company in View of Compound Option Basket Option and Ownerships

作　　者：陈林[1] 周宗放[1] 顾婧[2] 

机构地区：[1]电子科技大学经济与管理学院,四川成都610054 [2]四川大学经济学院,四川成都610064

出　　处：《中国管理科学》2011年第5期167-172,共6页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(70971015);教育部人文社科一般项目(10XJC630001);中央高校基本科研业务费专项资金资助(ZYGX2009J112)

摘　　要：企业集团历来是银行最重要的信贷客户之一,它既可给银行带来巨大的规模效益,又可能给银行造成重大的损失。企业集团的信用风险主要集中于集团母公司,母公司的信用风险又受其子公司信用风险的影响。基于此,在结构化模型的框架下,根据复合期权和篮子期权原理,构建了企业集团母公司及其子公司违约概率之间的函数,揭示了母公司信用风险受其子公司信用风险的影响关系。其中,母公司持有子公司的股权比例作为该函数中的变量之一,可以刻画母子公司之间的关联关系。数值分析表明,母公司持有子公司的股权比例是影响母公司信用风险的重要因素。As the major client of commercial bank, an enterprise group can tal^e huge profit 1or urals, ~,, the other hand, it also may expose the bank to the huge cumulative credit risk. An enterprise group＇s credit risk is the parent company＇s credit risk, but parent company＇s credit risk also affected by subsidiary company ＇s credit risk. According to this problem, based on the theory of compound option and basket option, this paper studies how to evaluate the parent company＇s credit risk, and gets a conclusion that the parent company＇s default probability is a function with independent variable of the subsidiary company^s default probability. It can analyze the default contagion between parent and subsidiary company by this function, and the shareholding ratio is one of parameter in this function ,it reflects the relationship of par- ent ~ subsidiary company. Furthermore,numerical simulation analysis showes that the shareholding ratio is an impor tan t impact factor on credit risk of parent and subsidiary company.

关 键 词：母公司 子公司 违约概率 股权比例 

分 类 号：F832.33[经济管理—金融学]