商业银行绿色信贷组合优化的CVaR模型研究——基于广义熵约束

Analysis on Green Credit of CVaR Portfolio Model Based on the Constraint of Generalized Entropy in Commercial Banks

以2000—2017年节能环保、固废处理、生态修复、绿色能源、生态农业、尾气治理、污水处理、新能源汽车八大绿色环保板块的中国上市公司为样本,构造商业银行绿色信贷组合优化的CVaR风险度量模型,得出最优贷款组合权数,并与实际绿色信贷投放情况对比,从而为中国商业银行更好地服务绿色经济发展提供借鉴。

In this paper,publicly listed companies in the eight green environmental protection sectors of energy conservation and environmental protection,solid waste treatment,ecological restoration,green energy,ecological agriculture,exhaust gas management,sewage treatment and new energy vehicles are used as samples to construct a conditional value-at-risk(CVaR)measurement model based on optimization of a green credit portfolio for commercial banks in China.The optimal loan portfolio weights are derived and compared with the actual situation for green credit supply,thereby providing a reference for commercial banks to better serve green economy development in China.