The Research On Credit Risk Based On Credit Risk+Model

At present, Credit risk is the first and foremost risk that banking industry faces,and it is also the most dangerous risk. Green credit is the newly emerging things whichclosely related to political, economic, environmental, energy and many other fields,therefore, the credit risk with the exception of the general credit risk characteristicshas its unique side. At the moment, China has not yet to conduct a comprehensive andin-depth understanding and analysis on the green credit risk, and lack of effectivegreen credit risk prevention mechanism, therefore, in the background of low-carboneconomy, in-depth studing of green credit risk is a theoretical and realisticsignificance problem.On the basis of quantitative analysis of our country commercial bank’s greencredit business and credit risk characteristics, This article used the theoretical analysisand empirical analysis methods to analyze the size and its distribution characteristicsof green credit risk loss. The thesis firstly present the situation, policy environmentand barriers that the Commercial Bank of our country faced, and then the formationmechanism, influencing factors and characteristics of the green credit risk areanalyzed theoretically. Next is the empirical part, building and analysing Credit Risk+model based on the green credit risk characteristics, and then selected a commercialbank credit portfolio to analysis credit risk, the loan business in accordance with thepurpose of loan is divided into two sections including green part and non green part,the expected loss, the biggest loss (VaR) and expected loss of each section arecalculated by risk factors such as default rates, default loss, default loss distribution.Finally, testing the size and distribution of loan portfolio loss, and analysing greencredit and non green credit risk expected loss and loss distribution characteristic bycontrast, find out the green credit risk size and distribution characteristics. The lastchapter of the paper based on the theoretical analysis and empirical analysis,combined with China’s commercial bank green credit risk inherent reason of theformation, for the banks to carry out green credit extract bad debt reserve, economiccapital allocation and to guard against credit risk, put forward the correspondingpolicy suggestions.