标题： 大型绿色和棕色贷款组合的信用风险：扩展ASRF模型 显示英文标题

标题： Credit risk for large portfolios of green and brown loans: extending the ASRF model

摘要： 我们提出了一种用于绿色贷款和棕色贷款组合的信用风险模型，通过双因子copula结构扩展了ASRF框架。 系统性风险使用可能具有偏态分布来建模，允许不对称的信用资质影响，而特异性风险仍保持高斯分布。 在非均匀暴露的情况下，我们证明了投资组合损失在均方意义下收敛于一个反映两种贷款段独特特征的极限。 数值结果验证了理论发现，并展示了如何受到投资组合粒度、违约概率、因子载荷和偏态影响的风险价值。 我们的模型能够适应对系统性冲击的不同敏感性，并为进一步的信用风险建模提供了可处理的基础，包括粒度调整、CDO定价以及绿色贷款组合的经验分析。 显示英文摘要

摘要： We propose a credit risk model for portfolios composed of green and brown loans, extending the ASRF framework via a two-factor copula structure. Systematic risk is modeled using potentially skewed distributions, allowing for asymmetric creditworthiness effects, while idiosyncratic risk remains Gaussian. Under a non-uniform exposure setting, we establish convergence in quadratic mean of the portfolio loss to a limit reflecting the distinct characteristics of the two loan segments. Numerical results confirm the theoretical findings and illustrate how value-at-risk is affected by portfolio granularity, default probabilities, factor loadings, and skewness. Our model accommodates differential sensitivity to systematic shocks and offers a tractable basis for further developments in credit risk modeling, including granularity adjustments, CDO pricing, and empirical analysis of green loan portfolios.