Abstract: As the major client of commercial bank,an enterprise group can take huge profit for bank,o n the other hand,it also may expose the bank to the huge cumulative credit risk.An enterprise group's credit risk is the parent company's credit risk,but parent company's credit risk also affected by subsidiary company's credit risk.According to this problem,based on the theory of compound option and basket option,this paper studies how to evaluate the parent company's credit risk,and gets a conclusion that the parent company's default probability is a function with independent variable of the subsidiary company's default probability.It can analyze the default contagion between parent and subsidiary company by this function,and the shareholding ratio is one of parameter in this function,it reflects the relationship of parent &subsidiary company.Furthermore,numerical simulation analysis showes that the shareholding ratio is an impor tan t impact factor on credit risk of parent and subsidiary company.

Key words: parent company, subsidiary company, default probability, shareholding ratio