Research On Credit Risk Assessment Method Of Green-credit Based On ANP And Fuzzy Integral

Green credit is an inevitable choice to reach the targets of sustainable development andtransform the pattern of economic growth in China. Moreover, it is a monetary lever for bankto restrict enterprise behaviors so as to allocate the capitals reasonably. Credit risk, whichplays a vital role in the stable operation of the bank, is the core content of the riskmanagement. Therefore, the study on the credit risk assessment method of the Green-credit inthis paper is of great practical significance.Firstly, starting with the “green one vote veto” system for the Green-credit, acomprehensive analysis on the factors of influencing the credit risk of the green credit is madein this paper adopting the method of combining literature research and corporate research.And on this basis an index system of credit risk assessment on green credit is structured. Theindex system has two parts, separately evaluating the environmental performance, financialand non-financial performances of the corporate.Secondly, since the Green-credit in China is in its infancy and lacks of some relevantdata, this paper tries to construct models on the basis of an integrated application of methodssuch as ANP, fuzzy integral and the influence matrix, etc. Corresponding to the index system,an environmental rating model and a credit risk assessment model for the Green credit areconstructed. For its describing the relationships between indicators, the fuzzy measure isintroduced to ANP while structuring the credit risk assessment model of green credit.Moreover, the Shapley value is used to construct the optimization model for gaining the fuzzymeasure, without the giving of the fuzzy measure from the expert, which lowers the difficultyof experts’ decision-making. Then, the Choquet integral is taken as an aggregation factor tocalculate the assessment value of the environmental protection of the corporate, which areclassified into “five colors”. Enterprises which are not consistent with the requirements willnot receive any loan except the anti-pollution reduction projects. However, the ones which areconsistent with the assessment requirements can use the model of green credit risk assessmentto make analysis on the financial and non-financial indexes so as to make sure the credit risksand default probability of enterprises. The influence matrix is introduced to the method ofANP to structure the model of credit risk assessment on green credit. It can divide the indexesinto two groups, namely, the reason group and the result group, which are present with causalrelationship diagram so as to make it easy for experts to figure out the complex relationshipbetween indexes and supply solid foundations for the decision-making.Lastly, this paper makes an empirical analysis on a pharmaceutical company and an aluminum technology company. The results show that the model constructed in this paper cannot only highlight the characteristics of the green credit, but also verify the validity of themodel through the explanation that the rating result is in line with the actual situation.In short, methods such as ANP, fuzzy integral and the influence matrix are applied in thecredit risk assessment of the green credit and the models of environmental rating and creditrisk assessment of green credit are structured, the aim of which is to make great efforts toprovide more scientific decision-making basis for the bank to develop green credit...