Research On The Impact Of Green Credit Asset Securitization On Bank Credit Risk

In order to promote the development of green finance,the government has successively issued relevant policies around green credit.The implementation of favorable policies effectively guides bank credit funds to invest in green industries and green projects.With the continuous increase of the volume of green credit assets and the rapid development after the restart of the pilot of credit asset securitization,green credit asset securitization,an innovative financial product combining green credit and credit asset securitization,has emerged.Green credit asset securitization can not only transfer risks and reduce the probability of risk,but also bury new hidden dangers for banks.Reasonable use of asset securitization can reduce credit risk,but once overused,it may even become an inducement to the financial crisis.Therefore,based on the financial index data of China’s major commercial banks and China’s macroeconomic data as samples,this paper analyzes the impact of green credit asset securitization on bank credit risk.This paper uses a combination of theoretical analysis and empirical analysis to conduct research.Based on the relevant literature and theoretical basis,it analyzes the impact mechanism of green credit asset securitization on bank credit risk.The direct impact is explained from the perspective of cost promotion and investment portfolio.The indirect impact is the analysis of the transmission mechanism using equity risk weighted assets as intermediary variables.In the aspect of empirical analysis,three models are mainly used,namely,the bank risk assessment model,which is used to calculate the bank credit risk indicators;The basic OLS regression model,which is used to explore the relationship between green credit asset securitization and bank credit risk,is the core of this paper;The intermediary effect model is used to analyze the intermediary effect of equity risk weighted assets.In the empirical analysis part,after the model is determined,the variables and sample data are determined,then the basic variables are analyzed by descriptive statistics,then the direct impact of green credit asset securitization on bank credit risk is analyzed by regression,then the heterogeneous endogenous test and robustness test are conducted,then the indirect impact is analyzed by regression based on intermediary variables,and the intermediary effect is tested.Finally,the empirical analysis is summarized.Through the research,it is found that the Z index is used to measure the level of bank credit risk.Generally,the larger the Z index is.the lower the bank credit risk level is,and the smaller the Z index is,the higher the bank credit risk level is;Through regression analysis,it is found that the participation of green credit asset securitization and the rate of green credit asset securitization have a significant positive impact on the level of bank credit risk,which shows that the development of green credit asset securitization will significantly promote the reduction of bank credit risk,but the impact of participation of green credit asset securitization is significantly higher than that of the rate of green credit securlitization;In terms of participation in green credit asset securitization,joint-stock banks have a greater impact,while in terms of green credit asset securitization rate,state-owned banks have a greater impact;Green credit asset securitization rate has an intermediary transmission effect on bank credit risk,which weakens the direct impact.