基于MFCA的商业银行碳金融信贷多阶段实物期权决策模型

发布时间：2018-03-29 04:08

本文选题：碳金融　切入点：物料流成本会计　出处：《合肥工业大学》2013年硕士论文

【摘要】：在低碳经济背景下，商业银行作为我国参与碳金融市场的主体，有效的实现经济利益与生态利益的双赢成为关注焦点。随着全球气候环境的变化，碳金融经济的风险更加复杂，商业银行的碳金融信贷的不确定性增加，传统的信贷评估方法已经难以预测碳金融信贷决策中的环境风险因素。因此，加强碳金融信贷环境风险的管理，合理甄选出具有生态和经济效益的碳金融信贷项目成为商业银行需要解决的关键问题。论文研究了国内外碳金融信贷决策理论和制造业环保决策工具物料流成本会计(material flow cost accounting，MFCA)的理论，结合对安徽省10家股份制商业银行进行碳金融业务调研的基础上，归纳分析了我国商业银行碳金融信贷存在的实际问题。从碳金融信贷环境风险评估的角度出发，提出了将MFCA识别隐藏在产成品中的“负”的部分的核心思想，引入到商业银行的碳金融信贷决策的实物期权评价模型中进行研究，使碳金融项目生产过程中难以明确的损失碳减排量作为一种“负产品”予以揭示，建立基于MFCA的三阶段实物期权模型，评估碳金融项目的期权价值。根据MFCA的核算方法，，辅助设计了环境状况评估打分卡，评估项目的环境状况。运用蒙特卡罗的模拟算法来实现对碳金融信贷项目的三阶段实物期权模型的算例分析，算例结果精确客观，体现出新构建的基于MFCA的商业银行碳金融信贷决策的有效合理性，促进了我国碳金融业务的发展。
[Abstract]:Under the background of low carbon economy, commercial banks, as the main body of carbon finance market in our country, effectively realize the win-win of economic and ecological benefits. With the change of global climate environment, the risks of carbon finance economy become more complex. Since the uncertainty of carbon finance credit in commercial banks is increasing, it is difficult for traditional credit assessment methods to predict the environmental risk factors in carbon finance credit decision. Therefore, the management of carbon finance credit environment risk should be strengthened. It is a key problem for commercial banks to reasonably select carbon finance credit projects with ecological and economic benefits. This paper studies the theory of carbon finance credit decision at home and abroad and the material flow cost accounting tool of environmental protection decision-making tool in manufacturing industry. Based on the investigation of carbon finance business of 10 joint-stock commercial banks in Anhui province, the paper studies the carbon finance business of 10 joint-stock commercial banks in Anhui province. This paper summarizes and analyzes the practical problems existing in carbon finance credit of commercial banks in our country. From the point of view of risk assessment of carbon finance credit environment, this paper puts forward the core idea of identifying "negative" parts hidden in finished products by MFCA. Introduced into the real option evaluation model of carbon finance credit decision of commercial banks, it is difficult to reveal the loss of carbon emission reduction as a "negative product" in the process of carbon finance project production. A three-stage real option model based on MFCA is established to evaluate the option value of carbon finance projects. According to the accounting method of MFCA, a score card for environmental condition assessment is designed. The environmental condition of the project is evaluated. The simulation algorithm of Monte Carlo is used to realize the example analysis of the three-stage real option model of the carbon finance credit project. The result of the example is accurate and objective. It reflects the effective rationality of the newly constructed carbon finance credit decision of commercial banks based on MFCA and promotes the development of carbon finance business in China.
【学位授予单位】：合肥工业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.4;F224

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