Title: A Research Based Shareholding Ratio on Default Contagion between Parent and Subsidiary Company in an Enterprise Group
Abstract: In recent years,many enterprise groups are major clients of the bank.But the finance crisis of some enterprise groups expose the bank to the danger of large credit risk.It is the shareholding relationship between the parent and subsidiary company that increase the credit risk contagion and make the evaluation of credit risk more complex.Based the structure model,Firstly,this paper analyses the relation between the correlation of parent subsidiary companys' asset by the shareholding ratio of parent company.Secondly,valuing the credit risk contagion between parent and subsidiary company by the shareholding ratio of parent company.Finally,the result show that there exists a parameter of shareholding ratio between parent and subsidiary company,which maximize the credit risk contagion between parent and subsidiary company.
Publication Year: 2009
Publication Date: 2009-01-01
Language: en
Type: article
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Cited By Count: 7
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