The Research on Correlations of Credit Risk and Moral Hazard for the EG

Yu XIA, Zongfang ZHOU, Yang YANG, Cao XU

Abstract


This paper, under the assumption of risk-neutral, analyzed the relationship between the probability of occurrence of moral hazard and the default probability of the EG (enterprise group), theoretically demonstrated the inner mechanism between the moral hazard and credit risk of the EG, and highlighted the role of bank loan interest played in the control of moral hazard and credit risk. The research shows: (1) There is nonlinear relationship between the probability of occurrence of moral hazard and the default probability of the EG; (2) There is an exogenous variable, loan interest rate, which makes the default probability extremum.

Keywords


EG (Enterprise Group); Moral Hazard; Default Probability; Loan Interest

References


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DOI: http://dx.doi.org/10.3968/j.mse.1913035X20130701.1259

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