Research on green credit risk measurement based on Pair Copula grouping model--From the perspective of Commercial Banks

Research on green credit risk measurement based on Pair Copula grouping model--From the perspective of Commercial Banks

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 algo...

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Main Authors: Sun Han, Ma Hui-zi, Wang Xiang-rong
Format: Article
Language:English
Published: EDP Sciences 2019-01-01
Series:E3S Web of Conferences
Online Access:https://www.e3s-conferences.org/articles/e3sconf/pdf/2019/44/e3sconf_icaeer18_03025.pdf
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spelling doaj-327b48cbd8784f06a0d746838ec476832021-04-02T15:34:09ZengEDP SciencesE3S Web of Conferences2267-12422019-01-011180302510.1051/e3sconf/201911803025e3sconf_icaeer18_03025Research on green credit risk measurement based on Pair Copula grouping model--From the perspective of Commercial BanksSun HanMa Hui-ziWang Xiang-rongIn 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.https://www.e3s-conferences.org/articles/e3sconf/pdf/2019/44/e3sconf_icaeer18_03025.pdf
collection DOAJ
language English
format Article
sources DOAJ
author Sun Han
Ma Hui-zi
Wang Xiang-rong
spellingShingle Sun Han
Ma Hui-zi
Wang Xiang-rong
Research on green credit risk measurement based on Pair Copula grouping model--From the perspective of Commercial Banks
E3S Web of Conferences
author_facet Sun Han
Ma Hui-zi
Wang Xiang-rong
author_sort Sun Han
title Research on green credit risk measurement based on Pair Copula grouping model--From the perspective of Commercial Banks
title_short Research on green credit risk measurement based on Pair Copula grouping model--From the perspective of Commercial Banks
title_full Research on green credit risk measurement based on Pair Copula grouping model--From the perspective of Commercial Banks
title_fullStr Research on green credit risk measurement based on Pair Copula grouping model--From the perspective of Commercial Banks
title_full_unstemmed Research on green credit risk measurement based on Pair Copula grouping model--From the perspective of Commercial Banks
title_sort research on green credit risk measurement based on pair copula grouping model--from the perspective of commercial banks
publisher EDP Sciences
series E3S Web of Conferences
issn 2267-1242
publishDate 2019-01-01
description 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.
url https://www.e3s-conferences.org/articles/e3sconf/pdf/2019/44/e3sconf_icaeer18_03025.pdf
work_keys_str_mv AT sunhan researchongreencreditriskmeasurementbasedonpaircopulagroupingmodelfromtheperspectiveofcommercialbanks
AT mahuizi researchongreencreditriskmeasurementbasedonpaircopulagroupingmodelfromtheperspectiveofcommercialbanks
AT wangxiangrong researchongreencreditriskmeasurementbasedonpaircopulagroupingmodelfromtheperspectiveofcommercialbanks
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