企业集团成员企业的违约相关性与信用风险度量研究
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摘要
企业集团是由母子公司、参股公司等多个企业共同组成的法人联合组织。它是企业发展的高级阶段。无论是在西方发达国家的市场经济中，还是在我国当前的经济发展中，企业集团的发展好坏都占有举足轻重的地位。
企业集团历来是银行发放贷款的重要客户，因为集团客户能给银行带来巨大的规模效益。银行从经营成本考虑，非常愿意贷款给企业集团。企业集团具有成员企业众多、成员企业之间存在主要以股权为联结纽带的复杂关联关系、关联交易频繁和隐蔽等特征。一方面，这使得银行和企业集团之间的信息更加不对称；另一方面，造成企业集团成员企业之间的信用风险往往呈现联动变化关系，具有很强的传染性。企业集团中任一企业发生违约，都可能导致其它关联企业也发生违约，最终给银行造成巨大的累积信用风险。从国外或国内一些已发生财务问题的企业集团来看，无一不证明了这一点。所以，银行对企业集团的信贷就像一把双刃剑，既可能带给银行丰厚的利润，又可能带给银行巨大的损失。因此，银行不能简单的将集团客户等同于优良客户，必须对集团客户的信用风险有充分的认识和理解。银行防范集团客户的信用风险，关键是评估企业集团核心成员(母公司)的信用风险，以及成员企业之间的违约相关性和违约传染风险。
本文根据企业集团的组织特征、运作特点、信用风险成因和特点，对企业集团成员企业之间的违约相关性及信用风险度量开展了如下研究：
首先，由于企业集团绝大多数成员企业之间存在直接或间接的股权控制关系，如母公司和子公司(母子公司)关系等。本文以企业集团成员企业之间的股权关系为出发点，在结构化模型的框架下，分析了以股权为联结纽带的母子公司之间的资产相关性，建立了基于股权关系的母子公司违约相关性和违约传染度量模型。进一步的，基于复合期权和篮子期权原理，评估企业集团母公司的信用风险，并得到了母子公司违约概率之间的函数关系。在此基础上，可以刻画企业集团成员企业之间的违约传染过程。
其次，针对在企业集团的一些成员企业之间，虽然不存在直接的股权关联关系，但是它们都直接或间接受企业集团母公司的控制。基于此，本文以集团母公司的资产价值作为影响这些成员企业违约强度的公共因子，在违约强度模型下，分析了它们的违约相关性。其中，提出了利用信用评级信息估计静态违约强度的一种方法。
再者，针对企业集团成员企业之间的股权控制关系，本文用故障树分析法分析企业集团母公司的信用风险评估，以便描述和刻画企业集团内母子公司之间的违约传染过程。通过在故障树分析中引入模糊逻辑门，本文构建了多层模糊逻辑门的集团母公司违约故障树分析方法。研究表明，多层模糊逻辑门的故障树分析法对企业集团母公司的信用风险评估与复合期权以及篮子期权方法具有一致性。
最后，针对企业集团公司治理不规范、非公平关联交易等问题，从代理人风险态度、道德风险等角度分析了企业集团代理人转移银行贷款资金的动机，以及企业集团子公司之间信用风险的传染过程。基于代理人效用最大化原理，分析了委托代理合约、代理人风险态度以及代理人转移贷款资金的道德风险对企业集团子公司信用风险的影响。研究表明，代理人的风险态度、委托代理合约的状态都会影响企业集团子公司的违约概率。
An enterprise group is a multi-corporate union which is constituted by parent andsubsidiary companies,holding company and so on.It is an advanced stage of corporationdevelopment.The development of enterprise group has a considerable effect in both themarket economy of western developed countries and China's economic development.
Enterprise group has always been an important customer of commercial banks,because it can bring enormous scale benefits to banks.Banks prefer to provide loans toenterprises group due to the lower operating cost.However, there are a large number ofmember enterprises in an enterprise group,and the shareholding is one of the mainconnection links among the member enterprises.On the one hand,those features createmore asymmetric information between banks and enterprise groups.On the other hand,they may create highly correlated risks among member enterprises. Once a member'scredit risk breaks out,it spreads to other members.Default of any member in theenterprise group may cause default of other related enterprises.It exposes banks to thehuge cumulative credit risks.This point has been proved by the abroad or domesticenterprise groups which have financial problems.For this reason,the huge profits oftengo along with the enormous losses.Hence,banks must have a full understanding onenterprise group's credit risk.The key of keeping bank from enterprise group's creditrisk is the evaluation of the core member's credit risk and the default correlation ofmember enterprises.
Based on the analysis of the organization and operating characteristics of enterprisegroup, and the causes of enterprise group's credit risk, this dissertation study themeasure of default correlation and credit risk between members of enterprise group inthis paper.
Firstly, regarding to the direct or indirect shareholding relationship between themajority of the member enterprises, such as the parent and subsidiary companyrelationship. In terms of structure model, this dissertation analyze the asset correlationand the default correlations of parent and subsidiary company from the view of the shareholding of parent & subsidiary company. Further, based on the theory ofcompound option and basket option, this dissertation study how to evaluate the parentcompany's credit risk, and get a conclusion that the parent company's defaultprobability is a function with independent variable of the subsidiary company's defaultprobability.it can use this function to analyze the default contagion between themembers of enterprise group.
Secondly, because there are not direct shareholding relationship between somemember companies in an enterprises group, but these companies are all controlled bythe parent company. Based on the intensity model, this dissertation put the variable ofenterprise group's asset value as a public factor of the default intensity of thesubsidiaries, and discuss the default correlation between these subsidiary companies.Also, this dissertation propose a method that using credit rating information to estimatestatic default intensity.
Thirdly, this dissertation use Fault Tree Analysis (FTA) to evaluate the credit riskof parent and subsidiary company, and discuss the process of default contagion. In FTA,this dissertation uses fuzzy logic to construct multi-hierarchy fault tree analysis. Itshows that the FTA method is consistent with the theory of compound option and basketoption to measure the parent company's credit risk under certain conditions.
Finally, according to the problem of corporate governance and non-fair relatedparty transactions, this dissertation analyze the motive of transferring the loan in anenterprise group and the process of credit risk contagion from the perspective of thestatus of contract, the agent's risk attitude and moral hazard. Based on the utilitymaximization theory, this dissertation study how the credit risk has been affected bythese factors and show that the agent's risk attitude and status of contract will exert aninfluence on the default probability of the subsidiary company in the enterprise group.
企业集团历来是银行发放贷款的重要客户，因为集团客户能给银行带来巨大的规模效益。银行从经营成本考虑，非常愿意贷款给企业集团。企业集团具有成员企业众多、成员企业之间存在主要以股权为联结纽带的复杂关联关系、关联交易频繁和隐蔽等特征。一方面，这使得银行和企业集团之间的信息更加不对称；另一方面，造成企业集团成员企业之间的信用风险往往呈现联动变化关系，具有很强的传染性。企业集团中任一企业发生违约，都可能导致其它关联企业也发生违约，最终给银行造成巨大的累积信用风险。从国外或国内一些已发生财务问题的企业集团来看，无一不证明了这一点。所以，银行对企业集团的信贷就像一把双刃剑，既可能带给银行丰厚的利润，又可能带给银行巨大的损失。因此，银行不能简单的将集团客户等同于优良客户，必须对集团客户的信用风险有充分的认识和理解。银行防范集团客户的信用风险，关键是评估企业集团核心成员(母公司)的信用风险，以及成员企业之间的违约相关性和违约传染风险。
本文根据企业集团的组织特征、运作特点、信用风险成因和特点，对企业集团成员企业之间的违约相关性及信用风险度量开展了如下研究：
首先，由于企业集团绝大多数成员企业之间存在直接或间接的股权控制关系，如母公司和子公司(母子公司)关系等。本文以企业集团成员企业之间的股权关系为出发点，在结构化模型的框架下，分析了以股权为联结纽带的母子公司之间的资产相关性，建立了基于股权关系的母子公司违约相关性和违约传染度量模型。进一步的，基于复合期权和篮子期权原理，评估企业集团母公司的信用风险，并得到了母子公司违约概率之间的函数关系。在此基础上，可以刻画企业集团成员企业之间的违约传染过程。
其次，针对在企业集团的一些成员企业之间，虽然不存在直接的股权关联关系，但是它们都直接或间接受企业集团母公司的控制。基于此，本文以集团母公司的资产价值作为影响这些成员企业违约强度的公共因子，在违约强度模型下，分析了它们的违约相关性。其中，提出了利用信用评级信息估计静态违约强度的一种方法。
再者，针对企业集团成员企业之间的股权控制关系，本文用故障树分析法分析企业集团母公司的信用风险评估，以便描述和刻画企业集团内母子公司之间的违约传染过程。通过在故障树分析中引入模糊逻辑门，本文构建了多层模糊逻辑门的集团母公司违约故障树分析方法。研究表明，多层模糊逻辑门的故障树分析法对企业集团母公司的信用风险评估与复合期权以及篮子期权方法具有一致性。
最后，针对企业集团公司治理不规范、非公平关联交易等问题，从代理人风险态度、道德风险等角度分析了企业集团代理人转移银行贷款资金的动机，以及企业集团子公司之间信用风险的传染过程。基于代理人效用最大化原理，分析了委托代理合约、代理人风险态度以及代理人转移贷款资金的道德风险对企业集团子公司信用风险的影响。研究表明，代理人的风险态度、委托代理合约的状态都会影响企业集团子公司的违约概率。
An enterprise group is a multi-corporate union which is constituted by parent andsubsidiary companies,holding company and so on.It is an advanced stage of corporationdevelopment.The development of enterprise group has a considerable effect in both themarket economy of western developed countries and China's economic development.
Enterprise group has always been an important customer of commercial banks,because it can bring enormous scale benefits to banks.Banks prefer to provide loans toenterprises group due to the lower operating cost.However, there are a large number ofmember enterprises in an enterprise group,and the shareholding is one of the mainconnection links among the member enterprises.On the one hand,those features createmore asymmetric information between banks and enterprise groups.On the other hand,they may create highly correlated risks among member enterprises. Once a member'scredit risk breaks out,it spreads to other members.Default of any member in theenterprise group may cause default of other related enterprises.It exposes banks to thehuge cumulative credit risks.This point has been proved by the abroad or domesticenterprise groups which have financial problems.For this reason,the huge profits oftengo along with the enormous losses.Hence,banks must have a full understanding onenterprise group's credit risk.The key of keeping bank from enterprise group's creditrisk is the evaluation of the core member's credit risk and the default correlation ofmember enterprises.
Based on the analysis of the organization and operating characteristics of enterprisegroup, and the causes of enterprise group's credit risk, this dissertation study themeasure of default correlation and credit risk between members of enterprise group inthis paper.
Firstly, regarding to the direct or indirect shareholding relationship between themajority of the member enterprises, such as the parent and subsidiary companyrelationship. In terms of structure model, this dissertation analyze the asset correlationand the default correlations of parent and subsidiary company from the view of the shareholding of parent & subsidiary company. Further, based on the theory ofcompound option and basket option, this dissertation study how to evaluate the parentcompany's credit risk, and get a conclusion that the parent company's defaultprobability is a function with independent variable of the subsidiary company's defaultprobability.it can use this function to analyze the default contagion between themembers of enterprise group.
Secondly, because there are not direct shareholding relationship between somemember companies in an enterprises group, but these companies are all controlled bythe parent company. Based on the intensity model, this dissertation put the variable ofenterprise group's asset value as a public factor of the default intensity of thesubsidiaries, and discuss the default correlation between these subsidiary companies.Also, this dissertation propose a method that using credit rating information to estimatestatic default intensity.
Thirdly, this dissertation use Fault Tree Analysis (FTA) to evaluate the credit riskof parent and subsidiary company, and discuss the process of default contagion. In FTA,this dissertation uses fuzzy logic to construct multi-hierarchy fault tree analysis. Itshows that the FTA method is consistent with the theory of compound option and basketoption to measure the parent company's credit risk under certain conditions.
Finally, according to the problem of corporate governance and non-fair relatedparty transactions, this dissertation analyze the motive of transferring the loan in anenterprise group and the process of credit risk contagion from the perspective of thestatus of contract, the agent's risk attitude and moral hazard. Based on the utilitymaximization theory, this dissertation study how the credit risk has been affected bythese factors and show that the agent's risk attitude and status of contract will exert aninfluence on the default probability of the subsidiary company in the enterprise group.
引文
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