绿色信贷信用风险转移模型构建与路径选择分析  

Model Construction and Path Analysis of Environmental Credit Risk Transfer

作　　者：李云燕[1] 殷晨曦 

机构地区：[1]北京工业大学循环经济研究院

出　　处：《中央财经大学学报》2017年第11期50-57,共8页Journal of Central University of Finance & Economics

基　　金：国家社科基金"基于DPSIR模型框架的京津冀雾霾成因分析及综合治理对策研究"(15BJY059);北京社科基金"京津冀地区雾霾污染控制政府绩效评估模式的构建"(14JGB036)

摘　　要：信贷绿色化现已成为主流趋势,如何严防绿色信贷信用风险,亟须深层次的风险管理创新。笔者以构建绿色信贷信用风险转移的理论分析框架为首要目的,聚焦解决商业银行绿色信贷贷后阶段的信用风险管理难题。以绿色信贷稳步扩张的发展现状为切入点,构建GCRT优化模型,比较分析不同路径下的绿色信贷信用风险转移效率和稳定性,从理论层面论证商业银行进行跨机构类型的信用风险转移是管控绿色信贷信用风险的有效手段。研究结果表明:商业银行将信用风险转移到非银行类金融机构可以大幅减少因绿色信贷而承担的信用风险;GCRT的交易费用越低,风险转移越充分,且转移效率越高;绿色信贷信用风险的有效转移能提升信贷资产质量,促进资金流向优质环保企业,增强金融稳定性,以及提高商业银行进一步发展绿色信贷的积极性。As environmental credit has become a mainstream trend,credit exposure reduction is urgently in need of risk management innovations. The primary objective of this paper is to solve the problem about environmental credit risk management theoretically in post-lending. Based on the status quo of steadily expanding environmental credit,a GCRT optimization model from the theoretical level has been constructed to analyze the efficiency and stability of credit risk under different transfer paths—the internal CRT and the CRT from inside to outside. Our analysis suggests that the incentive of commercial banks to transfer environmental credit risk from inside to outside is aligned with the objective of improving stability. Moreover,if the transaction cost of GCRT is lower,the amount of risk transfer will be larger and the transfer efficiency will be higher. In general,the results of the model demonstrate that the environmental credit risk transfer can effectively exalt the asset quality,promote funds flow to the environmental enterprises,enhance financial stability,and improve the enthusiasm of commercial banks to develop environmental credit.

关 键 词：绿色信贷 信用风险转移 路径选择 稳定性 

分 类 号：F830.5[经济管理—金融学]