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

Abstract

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.