基于ANP和模糊积分的绿色信贷信用风险评估方法研究

发布时间：2018-06-10 06:29

本文选题：绿色信贷 + 信用风险评估　；参考：《华南理工大学》2012年硕士论文

【摘要】：绿色信贷是我国实现可持续发展，转变经济增长方式的必然选择，是银行约束企业行为，实现资金合理配置的金融杠杆。信用风险是银行风险管理的核心内容，对银行能否稳健运行起着至关重要的作用，因此，本文研究绿色信贷信用风险评估方法有着重要的现实意义。首先，本文以绿色信贷“环保一票否决”制为出发点，，采用文献研究与企业调研相结合的方法，对绿色信贷信用风险的影响因素进行全面分析，并以此为基础，构建绿色信贷信用风险评估指标体系。该指标体系分为两个部分，分别对企业的环境业绩和财务、非财务业绩进行评价。其次，考虑到我国绿色信贷处于起步阶段，缺乏相关数据，本文综合应用ANP、模糊积分和影响矩阵等方法来构建模型。与指标体系相对应，本文构建了两个模型，分别是绿色信贷环保评级模型和绿色信贷信用风险评估模型。在构建绿色信贷环保评级模型时，为了更好的刻画指标之间的关系，将模糊测度引入ANP方法中。并使用Shapley值建立优化模型求解模糊测度，而不需专家给出，降低了专家决策难度。最后使用Choquet积分作为聚合因子，计算企业环保评分值，并将企业进行“五色”分类，对不符合环保评估要求的企业，除治污减排项目外，银行不予贷款；对符合环保评估要求的企业，运用绿色信贷信用风险评估模型，对其财务、非财务指标进行分析，确定企业的信用风险及违约概率。本文在构建绿色信贷信用风险评估模型时，将影响矩阵引入ANP方法中，影响矩阵法可将指标划分为原因群和结果群，并用因果关系图将其表示出来，便于专家理解指标间的复杂关系，为决策提供依据。最后，本文选取某药业公司和某铝业科技公司进行实证分析。结果表明，本文构建的模型不仅能够突出绿色信贷的特点，而且对评级结果的解释基本符合实际情况，从而验证了模型的有效性。总之，本文把ANP、模糊积分、影响矩阵应用到绿色信贷信用风险评估模型中，构建了绿色信贷环保评级模型和绿色信贷信用风险评估模型，力求为银行发展绿色信贷提供科学的决策依据。
[Abstract]:Green credit is the inevitable choice for our country to realize sustainable development and change the mode of economic growth. It is also the financial lever for banks to restrain the behavior of enterprises and realize the rational allocation of funds. Credit risk is the core content of bank risk management and plays a vital role in the steady operation of banks. Therefore, the study of green credit risk assessment method in this paper has important practical significance. Based on the system of "environmental protection and one vote veto", this paper analyzes the influencing factors of credit risk of green credit based on the combination of literature research and enterprise investigation. Construct the evaluation index system of green credit risk. The index system is divided into two parts, respectively, to evaluate the environmental performance, financial performance and non-financial performance of enterprises. Secondly, considering that green credit in China is in its infancy, there is a lack of relevant data. In this paper, ANPs, fuzzy integrals and influence matrices are used to construct the model. Corresponding to the index system, this paper constructs two models, namely, green credit environmental protection rating model and green credit risk assessment model. In order to better describe the relationship between indicators, fuzzy measure is introduced into ANP method in order to construct green credit environmental protection rating model. The Shapley value is used to set up the optimization model to solve the fuzzy measure without the need of the expert, which reduces the difficulty of expert decision. Finally, Choquet integral is used as aggregation factor to calculate the enterprise environmental protection score, and the enterprises are classified into "five colors". For those enterprises that do not meet the requirements of environmental protection assessment, banks will not take out loans except for pollution control and emission reduction projects. For enterprises that meet the requirements of environmental protection assessment, the credit risk assessment model of green credit is used to analyze its financial and non-financial indexes, and the credit risk and default probability of enterprises are determined. In this paper, the influence matrix is introduced into the ANP method when constructing the credit risk assessment model of green credit. The influence matrix method can divide the index into cause group and result group, and express them by causality graph. It is convenient for experts to understand the complex relationship between indicators and to provide the basis for decision-making. Finally, this paper selects a pharmaceutical company and an aluminum technology company for empirical analysis. The results show that the model can not only highlight the characteristics of green credit, but also the interpretation of the rating results is basically in line with the actual situation, which verifies the validity of the model. The influence matrix is applied to the green credit risk assessment model, and the green credit environmental protection rating model and the green credit risk assessment model are constructed to provide the scientific decision basis for the bank to develop the green credit.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5;F205;F224

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