Research On The Credit Risk Contagion Mechanism Of With The Listed Group Companies And Its' Members

Business group is an important part of our national economy and has an important position in the economic development.The ownership structure of the group members is complicated,and the internal related transactions are frequent and complicated,which makes the credit risk contagion among the group members infection,universal and particular.The nature,mechanism,measurement and risk control of the credit risk contagion among the members of the group have become a hot issue of common concern among the stakeholders of the group.This thesis takes samples of group members of the listed companies in Shanghai and Shenzhen Stock Exchanges from 2009 to 2014,and gives two methods to predict the net cash flow of operating activities.One is the current account balance,that is to say the net cash flow of the operating activities is predicted by the linear regression of other variables.The study finds that when the same independent variable returned lagging for one stage,it is not good to predict the net cash flow of operating.The other is to predict future residual cash flow by using operating capital turnover in order to create operating net cash flow,and another calculation method of operating net cash flow is put forward,the future point forecast value of operating net cash flow equals its initial current assets multiplied first by growth rate of current assets,and then by weighted liquidation rate of current assets.From the perspect of the repayment of debt that residual cash flow is the only source of subsidiary companies of listed group,the thesis puts forward the cause of credit risk of subsidiary companies of listed group which lies in the residual cash flow is less than need to repay the debt amount when subsidiary companies' debt due,and puts forward the fundamental reason of credit risk contagion between subsidiary companies of listed group is the related transaction subsidiaries changes trading main body' operating cash flow situation respectively,and causes the change of the residual cash flow each other,and resulting in credit risk contagion.Under the assumption that residual cash flow obeys random process conditions,the thesis analyses the probability and paths of contagion path of the credit risk,draws the conclusion that has a certain value,and deduces the analytic expression of its parent company's default probability of infection,on the condition of credit risk contagion of one and two subsidiary companies is divided into general guarantees and joint and several guarantees by its parent company.Finally,the concept of infection coefficient of credit risk are presented,which shows the extent redit risk contagion effect on the enterprise losing cash flow into between two enterprises happening trading behavior.The thesis dicusses the listed group parent-subsidiary companies' properties of infection coefficient of credit risk and draws the certain valued conclusions.On the other hand,the concept of credit risk contagion coefficient has important reference value to actual financial workers to understand and measure credit risk contagion.