Research On The Problem Of Credit Risk Control Of Small And Medium Enterprises From The Angle Of Barrier Options

In recent years, the rapid development of MSEs inject new vitality into the China economy.the new period because of continuing impact Chinese industrial transfer and upgrade and thefinancial crisis, in fact also exists in the amplification of small and medium-sized enterprises ownmany problems, but the financing difficulties of SMEs has become a big problem hinder thegrowth of small and medium enterprises. Therefore, banks are using supply chain finance as a newway to solve the financing difficulty of small and medium enterprises, America supply chainmanagement professional associations and eternal Asia supply chain Limited by Share Ltd jointlyannounced the report that, supply chain finance development potential is very alarming, by2020,China’s supply chain finance market size of nearly15trillion, in3to5years, Chinese will replacethe America, Europe to become the world’s largest logistics and supply chain management center.With the development of supply chain business, it brings the new profit point of growth that bankinvestment in supply chain finance above continue to increase, but with the development anddeepening of financial services supply chain, enterprise’s default risk still exists problems such aschain. With the future of the "Basel III" implementation in the domestic banking, the bank requiresthe use of more scientificand advanced model of lending business risk assessment and prevention.This paper takes SMEs credit default risk as the background, in the basis of previousstudies, the establishment of evaluation model based on barrier option risk, through the designinvolving a cooperation mechanism bank, core enterprises and small and medium-sized enterprisesto participate in and improve the operation efficiency of supply chain finance, and to the traditionalcredit risk assessment model is improved. Specific work start from the following aspects:First of all, through the analysis of the traditional mode of commercial bank loans to smalland medium-sized enterprises, from the point of view of the shortcomings of the current creditmodels, extended with the core enterprise supply chain financing guarantee mechanism, andanalysis of the risk formation mechanism, the feasible then study barrier option introduces themode of supply chain financing loans, establish mechanism of the three party game barrier option,commercial bank small and medium-sized enterprises and based on the core business, reduce thecredit risk of default and improve the credit performance objective.Secondly, through the selection of the small and medium-sized enterprise data, and carrieson the empirical analysis, found that there are significant barriers to value. Then the specialtreatment (ST) as the company has the financial crisis default treat, we investigate the prediction and explanation ability of barrier option model of corporate credit risk, the results found that thebarrier option model can distinguish some of ST and non ST company’s credit risk.Finally, the barrier option model barrier value as an index, was introduced to the logisticmodel, using empirical test barrier value, can effectively improve the predictive accuracy of thelogistic model, which lays a foundation for the empirical study, and puts forward relevant policysuggestions.