Research On Credit Risk Measurement Optimization Of Green Asset-backed Securities

Since reform and opening-up,China has spotted an incredible economic growth,but the environmental pollution and resource depletion are also growing.Therefore,the CPC Central Committee and the State Council give it high attention and recognition.The central bank takes green finance as a priority,and carbon neutrality was first written in 2021 government work report.Under the goal of carbon neutrality,green finance will develop rapidly in China,involving great opportunities for economic growth.Green asset-backed security is a new financing tool combining asset securitization business with green finance.It not only has the excellent characteristics of invigorating capital,increasing liquidity and isolating risks,but also can invest the raised investment in green industry and promote sustainable economic growth.The research on the credit risk measurement of green asset-backed securities is a novel topic in China.First of all,this paper illustrates the relevant concepts and principles of green asset-backed securities,and designs two kinds of modified KMV models based on common credit risk measurement models and the characteristics of green assetbacked securities.Then,based on the product data of the specific case of "20 Guodian Green ABN",this paper measures the default distance and default rate of the product as a whole and each interest payment date under the two modified KMV models respectively.This research finds out that: first,the default probability of "20 Guodian Green ABN" is extremely low both at the maturity of the whole security and at the maturity of each interest payment date,which means this issue has a very low credit default risk.Secondly,through the comparison of the two modified KMV models in this paper,it is clear to recognize that the improvement of production technology and energy consumption mode can reduce environmental pollution and at the same time reduce credit default risk.Therefore,this paper suggests that,from the aspect of credit risk management,the default information database of asset-backed securities in China should be established and improved first,so as to measure credit default risk more accurately.Secondly,the green factor of enterprises should be incorporated into the model for measuring and predicting credit risks,and a more perfect green credit evaluation system should be established to guide enterprises to innovate technological green production.From the aspect of financing policy,this paper suggests to increase policy guidance,establish and improve the guidance mechanism for issuing green assetbacked securities,and encourage more enterprises in high-pollution industries to finance funds through green asset-backed securities,so as to promote environmentalfriendly and sustainable development of economy.