| Issue |
E3S Web Conf.
Volume 118, 2019
2019 4th International Conference on Advances in Energy and Environment Research (ICAEER 2019)
|
|
|---|---|---|
| Article Number | 03025 | |
| Number of page(s) | 4 | |
| Section | Environment Engineering, Environmental Safety and Detection | |
| DOI | https://doi.org/10.1051/e3sconf/201911803025 | |
| Published online | 04 October 2019 | |
Research on green credit risk measurement based on Pair Copula grouping model--From the perspective of Commercial Banks
Shandong University of Science and Technology, Institute of Financial Engineering, Qingdao 266590, China
* Corresponding author: Hui-zi Ma e-mail: 1339632077@qq.com
In order to measure the portfolio credit risk of commercial banks in energy saving and environmental protection industry accurately, this paper proposes the value VaRGP of green credit risk and constructs a related model based on Pair Copula grouping model, VaR method (combined with enumeration algorithm).The results show that the credit schemes that commercial banks focus on investing in two areas of industrial emission reduction and environmental restoration is consistent with the conclusion that the two fields have the strongest development momentum.Besides, at different levels of confidence, all of VaRGP have passed the return test, which fully shows that the model is feasible and effective to measure the credit risk in different green fields and to formulate the optimal combination strategy.
© The Authors, published by EDP Sciences, 2019
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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