源于关联担保的信用风险传染机理

Credit Contagion Mechanism for Interrelated Guarantee

母子公司关联担保是企业集团内部常见的一种交易行为,这类关联担保极易成为信用风险在集团内传染的重要渠道。本文在结构模型的基础上,研究了不同债务优先偿还权下、母子公司间信用风险传染的机理。研究结果表明:信用风险传染强度与母公司的债务优先偿还次序无关,但子公司的债务优先偿还次序会显著地影响其大小;母子公司间的信用风险传染强度具有路径依赖性,并随着股权比重的增加而逐渐增大。

Interrelated guarantee is a common transaction between parent company and its subsidiaries.Such behavior is liable to become an important channel for credit contagion within enterprise group.Based on the structural model,this paper studies the mechanism of default contagion under the condition of different preferential right.The research result shows that credit risk contagion intensity is independent of the parent's debt repayment order,but significantly affected by the repayment order of subsidiary.Furthermore,credit risk of parent-subsidiary corporation has path dependence and gradually increases with the increasing equity proportion.