| The problem of asset pricing is one of the three fundamental braces in the field of modern finance. Among which, loan pricing is one of the core decisions as to a commercial Banks. How to make a reasonable loan pricing decision to the small business is a problem puzzled the commercial banks for a long time. Over pricing of the loan would lead to the loss of customer source, turn the customer towards other banks. If the loan is under priced, the profit of the commercial bank would unable to be achieved. Even worse, the bank would not compensate its costs and risks. Easing of the national financial regulation, lead to increasing competitiveness of the loan market. Scientific pricing for small business loans is one of the important fields that need urgent reforming and exploring.Pricing to the small business loans in a reasonable manner is good to improve the financing and loaning difficulties faces by small enterprises currently. Thus, the issue of small business loan pricing is a commercial bank’s pricing decision problem as well as a very important social problem.This paper includes five chapters. The first chapter analyses the relationship between the study backgrounds, progress of the relevant studies and the content of the study, idea and technical rout of the study. The second chapter establishes the study on master variables-logistic regression based small enterprises default rate measurement model. The third chapter establishes the model of loan pricing based on numerical type risk compensation. The forth chapter established the model of loan pricing based on interval type risk compensation. The fifth chapter is the conclusion and outlook.(1) Establishment of small enterprises loan default probability measurement model, according to Chinese small enterprises financial information defect characteristic.The paper establishes a small enterprises loan default probability model which includes16indicators such as debit-to-asset ratio, net profit cash level etc. sourcing the indicators’data from small enterprises loan of a certain domestic regional commercial bank’s, originating highly frequent indicators from domestic and foreign financial institutions and typical literatures, through the use of main variable analysis and logistic regression analysis method and selects indictors which could significantly distinguish indicators between default and non-default enterprises. The paper reflects small enterprises’solvency ability by indicators such as debt-to-asset ratio, net profit cash level etc.; reflects the profitability ability by net assets income rate and operating profit rate etc.; reflects operating ability by accounts payable turnover rate etc.; reflects internal non-financial factors by owners’relevant experience in the industry and patents conditions; reflects owner’s basic status by personal credit card records, living condition, etc. which demonstrates the condition of pledge guarantee by guarantee, mortgage, pledge and creditability.(2) Establishment of small enterprises loan pricing model cover the capital risk and default risk.Basing on minimum requisition of capital adequacy ratio prerequisite by Basel Accord, get capital gain for the particular loan’s by reverse and the compensation of capital gain. The paper establishes the small enterprises default risk compensation model according to features such as relative financial information inadequate of the small enterprises, make sure the default risk of the small enterprise loan pricing model is adequately compensated. By doing this, the effect of deposit reserve rate on the cost of deposit interest is taken into the consideration and precision of the loan of capital cost measurement has been improved. By computing the compensation parameter such as capital risk, default risk etc. of the loan, the paper establishes a small enterprise loan pricing model take full consideration of financial cost, capital gain and default risk compensation.(3) Establishment of Loan pricing model of accepting by both the bank and enterprise based on interval type risk compensation (e.g. default risk and capital risk).Through the use of interval numbers, the paper demonstrates the elastic characteristics of deposit interest rate, expense rate, and the target profit margin etc.. Taking existing loan’s capital pricing efficiency interval as the target, which integrated by minimum pricing efficiency and maximum pricing efficiency, treating the interest of the new loan as the variable, computing the new loan’s interest interval by the reversal of interval DEA model, establishes the loan pricing model based on interval type risk compensation.
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