Empirical Study And Credit Risk Measurement Model Of Small And Medium-sized Enterprise In China

Along with the growing number and gradually expanding scale of small and medium-sized enterprises( Abbr"SME"), in the national economy and social development, they are playing an increasingly important role in China's economy. China's banks are paying more and more attention to SME's credit business. However, due to the reasons on capital strength weakness, financial systems defect and the disability on risk resistance, banks have to face over risk on the business of SME. Therefore, it goes to be an urgent task that the banks escape from the loan risks of SME during the supporting to SME's development. Then, the research on effective SME credit risk measurement and management method to is turned to be important. Based on China's current situation of financing difficulties for SMEs, the paper deeply analyzed the formation causes why SMEs felt difficult to apply loan from banks, then proposes that credit risk measurement is the key to solve the problem of asymmetric information between banks and enterprises. With the characteristics of China's SME, on comparative study of credit risk measurement methods in domestic and international, the author makes reference to the advanced enterprise credit risk measurement and management experience and puts forward credit risk measurement model of SME and SME's credit portfolio risk measurement model. The paper also makes an empirical research on the study results. Focused on application of SME's credit portfolio risk measurement model, the author makes discussion on enhancing China's SME credit risk management measures.There are six chapters in the paper. The first Chapter is the introduction mainly elaborating the research purpose and its significance, the main research methods, the structure arrangement and the main creativities.This paper established SME credit risks measure model according to the characteristics of SME credit risks in China after a comparative analysis to each different credit risks measure methods was processed. Through the qualitative analysis and the quantitative analysis, both positive analysis and normative analysis was utilized to measure the SME credit risks.This paper has three main creativities: The first one is highly summarized the development of SME and put forward the key issues to solve its financing difficulties; the second one is the establishment of SME credit risk measurement model; the third one is the establishment of SME credit portfolio risk measurement model.The second chapter is literature review, which includes credit rating by domestic and foreign commercial banks and rating companies; domestic and foreign credit risk measurement. In my view: domestic and foreign scholars have discussed a lot about enterprise credit risk measurement methods, but existing credit risk measurement models have not reflected characteristics of SMEs, such as the innovative and growth. And have not established credit risk model clearly corresponding to SME.In the third chapter, the author makes research on financing difficulty of SME. This paper firstly elaborates the concept of SMEs and the role of SMEs in China's economic development, then analyses the status in quo and reasons for financing difficulty. The reasons are from SMEs themselves, as well as the favorites on banks'loan policy. After dissected root of the difficulty on SMEs financing, the key of the problem solving is brought out: the credit risks measurement.The fourth chapter is the focus of this paper. This chapter compares domestic and foreign enterprises credit risk measurement model. And combining the characteristics of China's SME credit measurement, establishes credit risk measurement model of SME.The KMV model is unable to be used generally to measure the credit risk of SMEs because most of them are un-listed companies. With the lack of the consummate credit performance rating system and the scarce of historical data, the Credit Metric model can not be used. The Credit Risk+ model simplifies the credit risks to the Poisson distribution, which is seemed to be too arbitrary. It also neglects the unique risks of debtors and is unsuitable to the SME. This shows that the modern credit risks measure models can not be used in the present stage of China. But the majority of SMEs will be kept out by banks if the banks use the present classical credit analysis method, which leads the bank to be scant to grant loan to SMEs. The most effective method to measure SME credit risks is the multi-variate statistical analysis. The logistic regression analysis method can be used to calculate future default risk probability of enterprises directly. After the advantages of the probability of dual classified variable of the logistic regression analysis method is fully considered, the SME credit risks measure model is established.In this chapter, the author, based on single SME credit risk measurement model, combining with the stochastic simulation, adds macroeconomic factors, industry factors and regional factors and business factors to the model, establishes portfolio assets credit risk model of SME.By using the random simulation method, on the foundation of Logit model, we described the loss distribution of credit default to the asset portfolio, calculated the loss distribution of each property and their margin contribution to asset portfolio. Compared to the portfolio loss distribution on the independent supposition and the relevant supposition, a concluded of the relevance between the properties has important influences on default risks is drawn.The fifth chapter is part of empirical research. The author makes empirical research on a combined assets package using credit risk measurement models and credit portfolio risk measurement model of SME.In normative study, we carry on the evaluation to the SME credit risks measure model from the technical aspect and the operation aspect. The author concludes that this model has enough accuracy and robustness. In the model, the fitting question is effectively controlled, and this model also has good discriminability and stability to the worst borrower and the best borrower.Compared with the correlation coefficient derived from the simulation, we obtained the correlation coefficient expression of breach of contract probability through the first-order approximate. This expression describes the relevance between the property default intensity to a certain extent. Although the correlation coefficient got from the expression calculation directly will underestimate the relevance of default intensity, but it will not change the relative order of the relevance.This chapter also studied the application of the SME risks measure model in banks on the management of credit portfolio, loan loss preparation found calculation and withdrawn, loan pricing, loan decision-making, economical capital allocation, achievements assessment and so on.The last chapter is the conclusion and outlook of the paper. In which the main research results are summarized and some questions need farther study are proposed.The SME credit risks measure is a new finance innovation technology with huge development potential. In the developed country, such as USA and Japan, etc, many banks have established the SME credit risks measure system. However, constrained by various factors; the application of SME credit risks measure technology in many developing countries are still in limited. In China, current SME credit risks measure model is non-maturation in respect of modeling, application as well as its valid examination. The study of SME credit risks measure model has heavy responsibilities.