A Study On The Contagion Effect Of Group Member Enterprises' Credit Risk Based On The Copula Model

Although the members of the group enjoy the business advantages brought by the group operation,they also face the potential credit risk contagion problem.When a company in the group or the group itself has a credit crisis,almost all the internal companies will be impacted to varying degrees.It makes the group's overall credit situation seriously deteriorated,and even causes a chain reaction in the market among other related companies.However,the contagion mechanism of credit risk among group members is often multi-path and potential.How to effectively identify the contagion effect of credit risk in enterprise groups has become a hot issue for both the group itself and the external credit providers.This paper examines the contagion of credit risk within a group from the perspective of risk dependence.Specifically,this paper selects several representative listed companies in HNA Group.We use the default probability of listed companies calculated by KMV model as the proxy variable for analyzing credit risk,and then uses GARCH to model the credit sequence to get the standardized residual sequence and constructs R-Vine Copula model on this basis.Finally,according to the dependency coefficient between the nodes,it is confirmed that there is a very prominent credit risk contagion effect among the members of the group.On the one hand,this credit risk contagion comes from the direct business relationship and equity ties.On the other hand,it may be potential,with a certain degree of concealment.In addition,the C-Vine Copula model is established according to the research object,and the comparative study is carried out.The results show that R-Vine Copula model has better fitting effect in measuring the group's credit risk dependence compared with C-Vine Copula model,and can sensitively capture the tail dependence of credit risk.The management of credit risk is becoming much more complicated due to the more extensive business contacts among group members.In view of the equity connection,business transaction and capital exchange among the members of the group,this paper proposes to strengthen the construction of risk monitoring information system,establish risk limit management mechanism and improve the external evaluation system of credit risk.