Basel Ⅱ Based Small-medium Enterprise Loan Pricing

On October 29, 2004, the People's Bank of China issued the interest rate adjustment announcement. People paid more attantion to the interest rate adjustment, actually neglected the part "the loan interest rate of financial institutions (urban and rural credit institutions not included) is without upper limit in principle" in the announcement. But this stipulation announced in fact the commercial bank henceforth basically grasps the loan pricing right.In any country, the growth and development of small-medium enterprises are the base of economical development and social stability. SMEs in our country have developed very slowly for a long time, the most important situation SMEs faced is when they are lack of funds, the bank is the most main capital source, but SMEs can hardly obtain bank loan. Difficulty of borrowing hinder development of SMEs since long ago.In 2005 the State Council issued "Supports and Guides to Encouraging the Development of Individual and Private Economy", which urges the banks to consider lowing down the financing requirement of SMEs. However, in SMEs loan pricing procedure, the bank follows the familiar old used loan pricing method, which is mainly aim at the large and middle scale enterprises, parts of requirements are too restrict to SMEs, often caused too high loan interest rate and affected SMEs borrowing enthusiasm.The core question of SMEs loan pricing is risk control. In June 2004, the Basel Committee on Banking Supervision released "International Convergence of Capital Measurement and Capital Standards: A Revised Framework "(called "Basel II"). Regardless when our country start to apply the new supervising requirements, the internal rating method in risk management and calculation of customers earning capability part of this agreement actually may be helpful in weighting the loan risk of SMEs loan pricing.This research stands on SMEs loan to examines kinds of loan pricing models, by analyzing western bank commonly used loan pricing methods, try to find theoretical basic of SMEs loan pricing in the multitudinous loan pricing theories. We construct the SMEs fit credit grading model with Logit model, and based on reduced form approach and under Basel II, we generate the fuzzy decision-making pricing model by the interval number method with the expected default rate and retrieving rate.