本文選題：綠色信貸 + 信用風(fēng)險(xiǎn)評(píng)估　； 參考：《華南理工大學(xué)》2012年碩士論文

【摘要】：綠色信貸是我國(guó)實(shí)現(xiàn)可持續(xù)發(fā)展，轉(zhuǎn)變經(jīng)濟(jì)增長(zhǎng)方式的必然選擇，是銀行約束企業(yè)行為，實(shí)現(xiàn)資金合理配置的金融杠桿。信用風(fēng)險(xiǎn)是銀行風(fēng)險(xiǎn)管理的核心內(nèi)容，對(duì)銀行能否穩(wěn)健運(yùn)行起著至關(guān)重要的作用，因此，本文研究綠色信貸信用風(fēng)險(xiǎn)評(píng)估方法有著重要的現(xiàn)實(shí)意義。 首先，本文以綠色信貸“環(huán)保一票否決”制為出發(fā)點(diǎn)，，采用文獻(xiàn)研究與企業(yè)調(diào)研相結(jié)合的方法，對(duì)綠色信貸信用風(fēng)險(xiǎn)的影響因素進(jìn)行全面分析，并以此為基礎(chǔ)，構(gòu)建綠色信貸信用風(fēng)險(xiǎn)評(píng)估指標(biāo)體系。該指標(biāo)體系分為兩個(gè)部分，分別對(duì)企業(yè)的環(huán)境業(yè)績(jī)和財(cái)務(wù)、非財(cái)務(wù)業(yè)績(jī)進(jìn)行評(píng)價(jià)。 其次，考慮到我國(guó)綠色信貸處于起步階段，缺乏相關(guān)數(shù)據(jù)，本文綜合應(yīng)用ANP、模糊積分和影響矩陣等方法來(lái)構(gòu)建模型。與指標(biāo)體系相對(duì)應(yīng)，本文構(gòu)建了兩個(gè)模型，分別是綠色信貸環(huán)保評(píng)級(jí)模型和綠色信貸信用風(fēng)險(xiǎn)評(píng)估模型。在構(gòu)建綠色信貸環(huán)保評(píng)級(jí)模型時(shí)，為了更好的刻畫(huà)指標(biāo)之間的關(guān)系，將模糊測(cè)度引入ANP方法中。并使用Shapley值建立優(yōu)化模型求解模糊測(cè)度，而不需專(zhuān)家給出，降低了專(zhuān)家決策難度。最后使用Choquet積分作為聚合因子，計(jì)算企業(yè)環(huán)保評(píng)分值，并將企業(yè)進(jìn)行“五色”分類(lèi)，對(duì)不符合環(huán)保評(píng)估要求的企業(yè)，除治污減排項(xiàng)目外，銀行不予貸款；對(duì)符合環(huán)保評(píng)估要求的企業(yè)，運(yùn)用綠色信貸信用風(fēng)險(xiǎn)評(píng)估模型，對(duì)其財(cái)務(wù)、非財(cái)務(wù)指標(biāo)進(jìn)行分析，確定企業(yè)的信用風(fēng)險(xiǎn)及違約概率。本文在構(gòu)建綠色信貸信用風(fēng)險(xiǎn)評(píng)估模型時(shí)，將影響矩陣引入ANP方法中，影響矩陣法可將指標(biāo)劃分為原因群和結(jié)果群，并用因果關(guān)系圖將其表示出來(lái)，便于專(zhuān)家理解指標(biāo)間的復(fù)雜關(guān)系，為決策提供依據(jù)。 最后，本文選取某藥業(yè)公司和某鋁業(yè)科技公司進(jìn)行實(shí)證分析。結(jié)果表明，本文構(gòu)建的模型不僅能夠突出綠色信貸的特點(diǎn)，而且對(duì)評(píng)級(jí)結(jié)果的解釋基本符合實(shí)際情況，從而驗(yàn)證了模型的有效性。 總之，本文把ANP、模糊積分、影響矩陣應(yīng)用到綠色信貸信用風(fēng)險(xiǎn)評(píng)估模型中，構(gòu)建了綠色信貸環(huán)保評(píng)級(jí)模型和綠色信貸信用風(fēng)險(xiǎn)評(píng)估模型，力求為銀行發(fā)展綠色信貸提供科學(xué)的決策依據(jù)。
[Abstract]:Green credit is the inevitable choice for our country to realize sustainable development and change the mode of economic growth. It is also the financial lever for banks to restrain the behavior of enterprises and realize the rational allocation of funds. Credit risk is the core content of bank risk management and plays a vital role in the steady operation of banks. Therefore, the study of green credit risk assessment method in this paper has important practical significance. Based on the system of "environmental protection and one vote veto", this paper analyzes the influencing factors of credit risk of green credit based on the combination of literature research and enterprise investigation. Construct the evaluation index system of green credit risk. The index system is divided into two parts, respectively, to evaluate the environmental performance, financial performance and non-financial performance of enterprises. Secondly, considering that green credit in China is in its infancy, there is a lack of relevant data. In this paper, ANPs, fuzzy integrals and influence matrices are used to construct the model. Corresponding to the index system, this paper constructs two models, namely, green credit environmental protection rating model and green credit risk assessment model. In order to better describe the relationship between indicators, fuzzy measure is introduced into ANP method in order to construct green credit environmental protection rating model. The Shapley value is used to set up the optimization model to solve the fuzzy measure without the need of the expert, which reduces the difficulty of expert decision. Finally, Choquet integral is used as aggregation factor to calculate the enterprise environmental protection score, and the enterprises are classified into "five colors". For those enterprises that do not meet the requirements of environmental protection assessment, banks will not take out loans except for pollution control and emission reduction projects. For enterprises that meet the requirements of environmental protection assessment, the credit risk assessment model of green credit is used to analyze its financial and non-financial indexes, and the credit risk and default probability of enterprises are determined. In this paper, the influence matrix is introduced into the ANP method when constructing the credit risk assessment model of green credit. The influence matrix method can divide the index into cause group and result group, and express them by causality graph. It is convenient for experts to understand the complex relationship between indicators and to provide the basis for decision-making. Finally, this paper selects a pharmaceutical company and an aluminum technology company for empirical analysis. The results show that the model can not only highlight the characteristics of green credit, but also the interpretation of the rating results is basically in line with the actual situation, which verifies the validity of the model. The influence matrix is applied to the green credit risk assessment model, and the green credit environmental protection rating model and the green credit risk assessment model are constructed to provide the scientific decision basis for the bank to develop the green credit.
【學(xué)位授予單位】：華南理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F832.5;F205;F224

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