Research On Mechanism Of Loan Pricing For Commercial Bank In Small And Medium Size Enterprises(SMEs) Credit Market Based On Economic Capital Measurement

The importance of Small and medium enterprises to China’s economy is overwhelming. Since Reform and Opening, especially in recent years, Small and medium enterprises have develop rapidly, the number of enterprises has increased year by year. According to statistics, the number of enterprises have already reached47million by the end of2012, the share of china’s enterprises up97%. Small and medium enterprises has become China’s economic development, prosperity and expanding employment market, an important foundation.Problem of financing to the Small and medium enterprises is a universal problem, because of default of direct and indirect financing methods. Under the asymmetric information, commercial bank cannot effective measure and manage the credit risk of medium and small enterprises, so it is more difficult to price the loan of medium and small sized enterprises.With the deepening of interest rate marketization and financial disintermediation, requires the Commercial Banks to improve their pricing ability for loans, to enhance independent and scientific pricing. And a scientific and reasonable mechanism of loan decision and loan pricing is core competition of Commercial Banks.In this context, Based on their own risk factors of Small and medium enterprises’ management and Credit Risk measurement index system of Small and medium enterprises’ Loans, this paper builds Small and medium enterprises’ credit scoring model by use of validating methods and transformation methods for the model according to BaselⅢ, which has rigorous statistical significance and good predictive power. And then, through the calibration of probability of default models to projecting outputs of models to actual defaulting probabilities of obligors, then mapping them to risk grades governed by a master scale covering all portfolios of a bank. This study builds a internal rating system of Small and medium enterprises for commercial bank, which improve the management level of credit risk according to empirical support.And then. From the perspective of Internal Rating, and based on the measuring loan portfolio Economic Capital of Multivariate Archimedean Copula, this paper establish the RAROC model to support the decision and pricing of the loan, And then, we conduct empirical studies with the data of some Small and Medium Side Enterprises from one Commercial Bank。The theory and method in this paper have a certain reference for commercial Banks to establish a scientific and reasonable mechanism of loan decision and loan pricing.