Study On Credit Risk Of Enterprise Group Based On Grey Comprehensive Relational Analysis

Credit risk is one of principal risks the credit financing institutions including commercial bank have to confront now. The subprime crisis that occurred in America at the beginning of this century was fundamentally caused by credit risk, while the credit risk produced by this crisis also exerted significant influence on finance and economy of countries related to it because countries are correlated to each other in aspect of finance and economy etc. Because the credit and loan offered by commercial banks and other credit institutions bring themselves a very huge profit, the enterprise group becomes credit and loan object a majority of credit institutions race to get, the evaluation and prevention of credit risk for enterprise group is a necessary problem financial credit institutions must face. But the enterprise group has a large scale, affiliates are numerous and there are very complex and hidden relations between affiliates. If one affiliate commits credit default, which will lead to that the closeness degree of correlation among affiliates is an indispensable factor affecting credit risk for enterprise group for this correlation among affiliates. This correlation is a “double-edged sword” to enterprise group and may bring more benefits if it is correctly and reasonably used. If not so, an opposite effect will be brought by excessive use or improper use. The recent rise of credit default events in enterprise group provide full evidence showing the credit institutions including commercial bank have a weak control to credit risk and raise alarm bells to them. Strengthening the control on credit risk for enterprise group is not only concerned with the interest of credit financial institutions but also affects the finance order, economic development and social stability of a country in a worse situation. Therefore,considering the insufficiency of existing studies, this paper studies the influence of correlation among affiliates of enterprise group on the credit risk from the theoretical perspective based on comprehensive and systematic overview on relevant studies at home and abroad. The paper covers the following aspects:(1) Credit risk information management problems existing of enterprise group are studied through to the enterprise group’s internal assets reorganization,the application of Internet of Things technology and the game analysis,The results of the study solved the problems existing in the information management of credit riskof enterprise group.(2) Considering the problems and shortcomings occurring in existing grey correlation analysis model, it points out the key factors used to establish grey correlation analysis model: similarity and nearness. A comprehensive grey correlation analysis model that has overcome some shortcomings of exiting models is set up and its nature is discussed. This model can reflect objective reality more accurately compared with other models. Empirical application analysis shows that this model has good applicability. The establishment of comprehensive grey correlation analysis mode will provide new idea for studying the contagion of credit risk inside enterprise group and the evaluation of credit risk for enterprise group.(3) It defines grey correlation among affiliates of enterprise group and applies the comprehensive grey correlation analysis model to set up the measurement model for grey correlation among affiliates, combining with the correlation inside enterprise group, which is applied to the analysis of contagion of credit risk inside enterprise group and evaluating the credit risk for enterprise group.(4)It is obviously seen that a credit default committed by an affiliate will make related parent company or other affiliates influenced. Thusly, this paper studies a mechanism that how grey correlation between parent company and its affiliates or between affiliates plays a role in the contagion of credit risk inside enterprise group, that is, by assuming enterprise asset value follows a random process, the strength of credit risk contagion between parent company and its affiliates is plotted by using conditional probability, combining grey correlation analysis method with random theory. Data analysis shows that there is a significant influence of correlation between parent company and its affiliates(or among affiliates) on the contagion of credit risk inside enterprise group. Whether the contagion threshold of credit risk exists in scale-free network is also studied. Results show: When assuming the affiliates have limited contagion ability, and power law exponent meets 2 <a ￡3, the contagion threshold of credit risk inside enterprise group is related to the maximal contagion ability of affiliates. The stronger contagion ability is, the lower contagion threshold is. The credit risk is more easily infected inside enterprise group and vice versa.(5) Presentingthe average grey correlation among affiliates of enterprise group. Empirical analysis shows the average grey correlation is positively correlated with the credit risk for enterprise group. So, the average grey correlation inside enterprise group is selected as the evaluation index of credit risk for enterprise group to supplement and perfect the evaluation index system of credit risk for enterprise group. In consideration of existing study results, financial status, corporate governance, industry factor, independent innovation ability and average grey correlation among affiliates are selected as the evaluation indexes of credit risk for enterprise group. Because some indexes are fuzzy, the fuzzy interval number is used to define the values of evaluation indexes, and index weights are calculated by applying comprehensive grey correlation analysis method. Finally the credit risk for enterprise group is empirically analyzed by combining comprehensive grey correlation analysis model with fuzzy comprehensive evaluation method.