Based On The Copula Model Of The Enterprise Group's Credit Risk Measurement

The department of supervision and banks are strong concerns of the credit risk measurement of the enterprise Group. Because of the complexity of enterprise groups, as well as the organizational structure of covert insider trading, Enterprise Group Credit Risk is much more complicated than a single enterprise. Banks to assess credit risk have not yet formed a targeted assessment model and management system, such as default risk of dependency. So it is very important to set up enterprises group of credit risk measurement model based on breach of contract.In this paper, we study enterprise groups using mixed model copula function to measure the credit risk enterprise groups on the bank's point of view. First of all, this article analyze the credit risk theory of enterprise groups: sources of risk, performance and transmission mechanism; secondly, the paper selected measurement models of enterprise groups credit risk, under asymmetric infonnation selected the hybrid model and n-dimensional Copula function, measure the enterprise group model of default risk. Finally, the article applied to selection model to calculate the probability of default by the samples, which measure the credit risk of the enterprise groups.The results show that: hybrid model based on Copula function of n-dimensional can reflect the full credit risk enterprise groups. The credit risk of enterprise groups is increased by the dependency of default, that is, the breach of contract does not take into consideration dependencies dependency credit default low-risk groups, the credit risk with Copula mixture model of two-dimensional measure is lower than the 3-dimensional mixed-function Copula. Enterprise groups in the measure of credit risk, it is necessary to accurately determine the Enterprise Group's enterprise-wide credit assessment, take into account the relevant breach of contract in order not to underestimate the potential risks.