The Research On Small Enterprises Loan Pricing Based On RAROC Model

Small enterprises are that labors, labor means or object of labor’s concentration are low, production and numbers of trade are small, and different industries have different specific criteria. Due to small enterprises have the disadvantages such as small scale, imperfect financial, they always facing financing and loaning difficulties, which affect the development of small enterprises in the future.China pays more attention to the development of small enterprises, issue many preferential policies suitable to the development of small businesses. With the further opening of interest rate liberalization, obtain the loan and deposit will become the new business growth point of commercial bank. Make the loan pricing reasonable to small enterprise is not only beneficial to solving the problem of financing difficulty for small enterprises, and also avoid commercial banks’ losses.This research established the credit evaluation system which can distinguish default state of small enterprises, through the binary logistic regression and correlation analysis, Build default probability model by logistic regression. Calculate exposure at default for each loan through pledge guarantees’ score. Build small enterprises loan pricing model based on RAROC model, through 3,045 loan dates in small enterprises loan database of a city commericial bank.This study gets the main conclusions as follows:(1) Selected 19 evaluation index system that can reflect the default status of small enterprises in 81 auditions indicators.(2) The empirical research shows that non-financial factors have the most important influence to small enterprises’ default status, accountes for 47.37% in all indicators.(3) The more numbers and better liquidity of comparison of mortgage, pledge, guarantee, the lower loan rates.(4) The shorter the term of loan, the bank may give lower interest rates.(5) The empirical research shows that, the RAROC model loan rate is higher than the banks’ rate.This article has some innovations and features. Firstly, the paper improves RAROC model by leading in important parameters such as loss given default, probability of default and exposure at default. Therefore, calculating reference rate for small enterprises and remedy the shortcomings of the existing RAROC model does not apply to small enterprises loan pricing. Secondly, considering the constraint requires of loan-to-deposit ratio no more than 75% from regulatory authorities, improving the cost of capital in RAROC model. Thus, it makes sure that not only commercial banks compliance with the regulatory requirements, but also to avoid paying costs lead to suffer losses. Thirdly, judging the small enterprises’ credit status indicators significance standard by Wald test, retain the large significant coefficient of index after Wald text, and ensure each indicator can distinguish default status of small enterprises significantly. Forthly, between indicators whose the correlation coefficient is greater than 0.8, this paper retain the indicators of mean square error is bigger, to make sure the small enterprises’ credit evalution system brief without missing information after the second screening.