Research On Green Credit Risk Measurement Of Industrial Enterprise Based On FM Algorithm

In the critical period of economic transformation,the state has paid more and more attention to environmental protection,and laws and regulations supporting environmental protection policies are constantly improving.At the end of 2017,the National Development and Reform Commission issued the "National Carbon Emissions Trading Market Construction Plan(Power Generation Industry)" clearly pointed out that the carbon emission trading market is a policy tool for controlling greenhouse gases.Although the initial plan only involves the power generation industry,it will gradually expand to various high carbon emission industries as the market improves and conditions mature.After the completion of the carbon emission trading market,the government will influence the carbon emission price by controlling the total amount of carbon emissions in the country,and urge enterprises to develop toward green and low carbon.However,environmental risks caused by government environmental regulations will inevitably have an impact on the production and operation of highly polluting enterprises.In order to meet environmental protection standards,enterprises need to carry out technological transformation and pay for operating costs.The cash flow and assets and liabilities of enterprises will be affected and reduced.Corporate solvency has correspondingly increased bank credit risk.At the same time,with the implementation of the National One Belt and One Road strategy,China's relevant institutions and enterprises need to invest a lot,it is necessary to avoid high-pollution investment and promote low-carbon green investment.At present,ICBC has selected two industries,thermal power and cement,to conduct research on environmental stress testing.The study pointed out that commercial banks' environmental stress tests can improve the environmental risk prevention and control capabilities of commercial banks.However,stress testing cannot measure environmental credit risk in the process of bank credit,and it is impossible to prevent and control environmental risks from the root cause.Therefore,it is necessary for commercial banks to study environmental risks and their prevention and control mechanisms caused by government environmental regulations based on traditional credit risk measurement methods.Based on the anti-carbon price increase background,based on the A-share industrial enterprise data on December 31,2016,the enterprise default distance calculated by the KMV model first represents the financial performance of the enterprise,and the coupling degree analysis of the enterprise environmental protection score is analyzed to analyze the industrial enterprises in China.The degree of matching between financial performance and environmental protection level,so as to clarify the rationality of China's commercial banks to measure environmental credit risk.Subsequently,from the perspective of stress testing,a green credit risk measurement model that introduces the expected government environmental regulation intensity and the enterprise carbon emission reduction potential is constructed.Finally,high-contamination samples,low-coupling coordination samples,and low-pollution enterprise samples were selected for stress testing.The main conclusions of this paper are:(1)The analysis results based on the coupling coordination degree show that the industrial enterprises in the sample are basically in the middle and low coupling stage.The economic development of enterprises does not match the level of environmental protection.In the future,the government is vulnerable to large environmental risks when it is strongly environmentally regulated.Therefore,it is necessary for commercial banks to take measures to effectively prevent and control environmental risks.(2)The analysis results based on the factorization machine model show that the Factorization model is an effective credit risk.(3)A specific green letter was proposed by introducing the expected government environmental regulation and corporate carbon emission reduction potential indicators.The risk measurement and stress testing techniques are used to integrate the stress test with the green credit risk measurement model.An empirical analysis of some samples of industrial enterprises in China in 2016 shows that the improvement of model accuracy is limited after the addition of green indicators.Although China's industrial enterprises have a large potential for carbon emission reduction,the carbon emission reduction potential of enterprises can only form environmental risks through government environmental regulation.The one-year government emission reduction efforts only reduce the unit GDP by 0.037,and the enterprises are under less pressure to rectify.At this time,the environmental risks that commercial banks need to guard against are small,and the green credit risk model is automatically reverted to the traditional credit risk model,so that the bank can conduct normal credit business and ensure the bank's profitability under the premise of reasonable prevention of environmental risks.(4)The analysis results based on the environmental stress test show that the model can identify environmental risks to a certain extent.At the time of December 31,2016,in the scenario of increasing government environmental regulation,the proportion of defaults of low-coupling coordination samples selected from some industrial enterprises is higher than that of high-pollution samples,while low pollution Corporate samples are not affected.Therefore,commercial banks apply the green credit risk measurement model to prevent and control environmental risks on the one hand and environmental stress tests on the other.This article only takes the prevention of carbon emission reduction as an example.The model can be widely applied to any environmental indicators.Compared with the blind implementation of the green credit policy by commercial banks,the use of the green credit risk measurement model can guarantee the bank's income,promote social development,and help the government's policies to be effectively implemented when the government's environmental regulation is low.When the government's environmental regulation is high,It can effectively reduce the risk of default of banks due to environmental risks,urge enterprises to develop towards green environmental protection,and strengthen the implementation of government policies.The innovations of this paper are mainly reflected in:(1)The coupling coordination degree model is used to empirically study the rationality of commercial bank's prevention and control environmental risks.(2)Introduce an interpretable factoring machine model into the field of credit risk measurement.(3)Constructing a green credit risk measurement model based on the factorization machine model and introducing environmental indicators reasonably is a major attempt and breakthrough in the field of green credit risk.(4)Propose a specific stress testing technology system,which integrates stress testing with the enterprise green credit risk measurement model.From the perspective of corporate loans,environmental regulation is expected to measure green credit risk.From the perspective of stress testing,the government's environmental regulation is changed to measure future risks,thus testing the bank's pressure capacity.