Study of Green Credit Risk in the Steel Industry Considering Exogenous Shocks

Based on the ESG-KMV model constructed by introducing industry ESG thresholds and ESG score values into the traditional KMV model's enterprise asset value and enterprise default point, a nonlinear mathematical expectation ESG-KMV model was constructed from the perspective of a commercial bank considering exogenous shocks and other factors, in order to measure the impact of exogenous shocks on the green credit risk of iron and steel enterprises. Results: The ESG-KMV model based on nonlinear expectation modification is introduced under the consideration of exogenous shocks, and the measurement results show that the default distance in the control group is relatively stable, while the default distance in the default group becomes sharply larger and smaller, and then becomes stable and smaller, which indicates that the model can effectively measure the impact of exogenous shocks on the green credit risk of iron and steel enterprises.