Study On Pledge Rate Of Carbon Emission Right Pledge Loan ——Based On Option Pricing Model

The circulation and trading of carbon emission rights across the country has promoted the rapid development of carbon emission pledge loans in various cities.The loan scale has been expanding.However,in the development of carbon emission right pledge loan,the pledge rates of banks vary greatly.Besides,the theoretical research on the pledge rate of carbon emission right pledge loans is insufficient.There is a lack of pledge rate research model.The construction of a unified pledge rate research model will help banks control the risk of loan default,make full use of enterprise carbon emission rights.It is significant for banks and enterprises.Using B-S Option Pricing Model,this paper studies carbon emission right pledge loan,and constructs a pledge rate research model to help banks price carbon emission right pledge loans.By analyzing the status of carbon emission right pledge loan and the problem of pledge rate,this paper discusses the applicability of different pledge rate calculation models in carbon emission right pledge loan,and selects B-S Option Pricing Model to construct the pledge rate decision model of carbon emission right pledge loan.The model results show that the pledge rate is interrelated to interest rate premium,loan compensation rate,loan term and volatility.At the same time,based on carbon emission right pledge loan issued by China Construction Bank,this paper applies the constructed pledge rate model to the case,forecasts the volatility by using GARCH model,and calculates the theoretical pledge rate of the case.According to the case results,this paper analyzes the guarantee effect of the theoretical pledge rate and the difference between the theoretical pledge rate and the actual pledge rate to verify the feasibility of the model.In the theoretical research of pledge rate model,this paper studies the pledge rate of carbon emission right pledge loan on the basis of B-S Option Pricing Model,which enriches the research content in the field of carbon emission right pledge loan and pledge rate,as well as widens the application scope of B-S Option pricing model.In the case study,according to the specific situation of carbon emission right pledge loan issued by China Construction Bank,this paper explains the application process of the model in the actual case,analyzes the feasibility of the theoretical model,and provides a certain reference for the loan bank to carry out the pledge rate decision.Therefore,in the light of the process of model research and case application,the research results have theoretical and practical significance.