A business group is a complex system; thus it is much more difficult to predict its credit risk than that of an individual company. This study proposes an iterative model, which describes the internal interactions and dynamic credit risk of a business group. The proposed model was analyzed from a complex dynamics perspective. The simulation results based on this model show that chaos will emerge in the credit risk of a business group due to the dynamic decision-making processes of its subsidiaries, even if the interactions in the business group are fairly simple. The results of this study might explain some economic phenomena, and they also provide insights into the credit risk of a business group.