Study On Risk Sharing Mechanism And Pricing Of SME Credit Guarantee

Credit Guarantee is an effective way to help SME finance and support theirdevelopments. However,In the course of doing business,China's SME creditguarantee institutions experienced some problems, such as risks and benefits areunequal, rights and obligations do not match and so on. The pricing method accordingto experiences can not measure the risk of secured loans effectively thus affect thesustainable development of credit guarantee institutions. So the study on creditguarantee risk-sharing and pricing is of great significance to the healthy developmentof China's SME credit guarantee industry. This is why I choose this theme as mymaster's research topic.By using Principal-Agent model, we construct a risk-sharing contract betweencredit guarantee institution and the cooperating bank under symmetric informationand asymmetric information. In addition, we analyze how the absolute risk aversioncoefficient, market risk and the effort cost coefficient affect it. In risk pricing, thispaper constructs a model based on VaR to calculate the rate of credit guarantee fee indifferent proportion of risk allocation. Though coordinating the conflicts of interest,which exist between guarantee institution and the cooperating bank, and exist betweenthe borrowing firm and guarantee institution, we promote the business development ofSME credit guarantee institutions.Conclusions are as follows: Firstly, Pareto optimal risk-sharing contract indicatesthat the cooperating bank doesn't need to take any risks under symmetric information.Under asymmetric information, There is a positive correlation between the proportionof risk allocation and the absolute risk aversion coefficient,market risk and the effortcost coefficient. The cooperation between credit guarantee agency and the cooperatingbank brings positive agency costs. Secondly, empirical analysis shows that the creditguarantee pricing model based on VaR can measure credit risk effectively and providetheoretical rate of credit guarantee fee in the course of business development.