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The Research Of The SMEs Credit Risk Evaluation And The Effect On Loan Pricing

Posted on:2016-10-17Degree:DoctorType:Dissertation
Country:ChinaCandidate:Z MengFull Text:PDF
GTID:1109330470982584Subject:Finance
Abstract/Summary:PDF Full Text Request
On July 19 th 2013, China’s central bank announced the liberalization of interest rate control, which represents that commercial banks need to play a more important role for pricing in the future. Pricing level directly affects the survival and development of commercial banks. Small and medium-sized enterprises(SMEs) have always been the key supported economic organizations in our country, but domestic commercial banks’ credit support for SMEs is very limited because of information asymmetry and other reasons, so that the real economy development of our country nearly far behind the macroeconomic performance in the last ten years. Indeed, after the liberalization of interest rate, the disintermediation effect of large enterprises will force the commercial banks to rethink the risk management strategy, and look more about the mainstream direction of providing loans to support SMEs. Reasonable pricing cannot do anything if without credit risk evaluation and mitigation tool application. For the most of China’s commercial banks, credit risk evaluation, or loan pricing model, or mitigation tool application, cannot do without the guidance and constraints of the New Basel Capital Accord. Especially after the global financial crisis in 2008, the western developed countries pay more attention to the rule effect of the New Basel Capital Accord, and think that only the unified framework can effectively curb excessive speculation and guard against systemic risk. The Basel Accord also gives specific requirements about the bank’s credit risk evaluation and mitigation tool applications after it is published.At present, most scholars tend to build up the general credit risk evaluation model, and in the loan practice of commercial banks, the general model is also the mainstream. Although the general credit risk evaluation model is very important and can provide inspiration and reference for a wide range of enterprises, it is difficult to express a particular class enterprise in a specific industry or in a specific area since it only has the versatility. More importantly, the general evaluation model is difficult to apply after established, and can not play its role in the loan practice of commercial banks. However, in recent years, many scholars establish the enterprise evaluation model based on the results of western researches, which contributes to the extension and application of this field theory. But due to the differences between the western research sample and Chinese native culture, directly applying the research results is not desirable. At the same time, most of the local model studies are not rigorous due to the lack of the data and sample support, and the studies about the SMEs evaluation model is rare. Therefore, when studying the SMEs credit risk evaluation model, we need to pay attention to the influence of the local culture and the current period’s economy to research work.Through literature review, this paper uses the organizational management methods of interview and questionnaire, and applies the statistical methods of item analysis, correlation analysis, principal component analysis and multiple regression analysis. This paper takes the Bank of China Shenzhen Branch of the SMEs credit customers as the research object, and deeply studies the relevant problems of the SMEs credit risk characteristics. This paper includes five aspects:(1) from the view of commercial banks, this paper reviews the literature of the SMEs financing difficulty, finds the root and the deep-seated reasons of the SMEs financing difficulty and commercial banks’ "credit crunch", and explores the method and path to solve the problem;(2) this paper reviews the literature of the New Basel Capital Accord, studies the past research results about the credit risk evaluation model in the New Basel Capital Accord, makes a detailed analysis of their applicability in China, and proposes the direction and advices of research work;(3) this paper reviews the literature of the SMEs credit risk evaluation model in China, analyzes the cause of influencing the SMEs credit risk, studies and establishes the SMEs credit risk evaluation model, and tests reliability and validity of the established model;(4) the paper analyzes and summarizes the history and types of loan pricing and mitigation tools, verifies the relationship among the SMEs credit risk, mitigation tools and loan pricing using the SMEs credit risk evaluation model developed in this paper, and discusses the influencing mechanism and path of credit risk on loan pricing;(5) based on the conclusions, this paper combines the risk management practice of commercial bank, proposes the management inspiration, and also points out the innovation points, limitations and issues needed to pay attention in future research.This paper totally obtained 651 effective samples. The main conclusions of this paper are as follows:(1) this paper establishes the SMEs credit risk evaluation model by using the methods of documentary, interview, questionnaire and factor analysis, and verifies that the credit strength is composed of three factors, including financial strength, management strength, and the social strength. And the measurement scale of the SMEs credit risk evaluation model has high reliability and validity.(2) the SMEs credit risk has significant positive effect on loan pricing through the regulating effect of mitigation tools. This paper uses the multiple regression analysis method to test the influencing mechanism of total factor of the SMEs credit risk(credit strength) and sole factor(financial strength, management strength, the social strength) on mitigation tools and loan pricing. The results show that the SMEs credit risk has significant negative effect on the mitigation tools, and the mitigation tools have significant positive effect on loan pricing. The management strength factor of credit risk doesn’t have significant effect on loan pricing, but affects the loan pricing throughthe regulating effect of mitigation tools. Mitigation tools are adjustment variables of credit risk to affect loan pricing.The research of the SMEs credit risk evaluation and the effect on loan pricing is contributed to accurately recognize and measuring credit risk in theory. It can not only be beneficial to resolve the problem of the SMEs financing difficulty, but also provide scientific basis for commercial banks to enhance the management level of the SMEs loans. Thus the research in this paper has important significance both in theory and in practice.
Keywords/Search Tags:SMEs, Credit Risk, Load Pricing, Mitigation Tools, Basel Capital Accord
PDF Full Text Request
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