Because an enterprise group has a lot of affiliated companies and complex structure of share, there is more asymmetric information between bank and enterprise group. It is more difficult for the bank to monitor the loans of enterprise group, and there are more chances for enterprise group to have moral hazard for not using the loan according to the contract which increase the credit risk of bank. Based on this problem, firstly we analyze the motivation of enterprise group agent transferring the loan and the process of credit risk contagion of subsidiary companies. Secondly, based on the utility maximization theory, we analyze how the credit risk is affected by contract's status, the agent's risk attitude and the agent's moral hazard. Finally, we get a model of probability of default for an enterprise group's subsidiary companies. The result shows that the agent's risk attitude and status of contract both affect the probability of default.