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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
EDP Sciences
2019-01-01
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| Series: | E3S Web of Conferences |
| Online Access: | https://www.e3s-conferences.org/articles/e3sconf/pdf/2019/44/e3sconf_icaeer18_03025.pdf |