钢铁行业信贷风险评估分析--基于改进的Credit Metrics模型

Credit Risk Assessment Analysis for the Steel Industry-Based on an Improved Credit Metrics Model

在研究信用风险评估中借鉴传统信用评级模型,结合十四五规划中绿色发展的绿色生态指标,充分考虑到钢铁行业的特殊性,对Credit Metrics模型进行改进,通过对3家传统信用评级相同的钢铁企业进行实证分析,形成不同的VaR值并进行比较,分析可知ESG等级越高的钢铁企业越符合时代要求下的绿色发展。该方法更贴近当今时代的要求,对于公司有很好的警示性和方向性,利于银行把控资金回收的风险。

In the study of credit risk assessment,the Credit Metrics model is improved by drawing on the traditional credit rating model,combining the green ecological indicators of green development in the 14th Five-Year Plan,and taking into full consideration the special characteristics of the steel industry.The analysis shows that the higher the ESG rating,the more the steel company is in line with the green development of the times.This method is more relevant to the requirements of today's times and provides a good warning and direction for the company,which is useful for banks to control the risk of capital recovery.