Study On Loan Pricing Of Small Enterprises Based On Gaussian Credit Return Model

With the continuous development of market-oriented economy in China, a series of reforms including the business registration system, greatly enhance the vitality of the market and the entrepreneurial enthusiasm. So a number of small enterprises have rapidly grown, cut a striking figure in the Chinese private ownership economy, and played a major role in promoting Chinese economic development and social employment. On the other hand, The State Council and the China Banking Regulatory Commission launch policies to benefit small enterprises constantly, encouraging the development of small enterprises, through providing preferential policies to banks who help small enterprises financing. As far as banks, they can get the support of national policy, such as be allowed by the CBRC to add its branches, by actively support the development of small enterprises financing; on the other hand, with the open of interest rate market, compared with large enterprises, banks loan to small enterprises will own higher bargaining power in pricing and greater profit space. Therefore, the small enterprises become the key customer groups being actively strived for by the commercial banks, and even the state-owned banks.But, the reality we have to face is that, small enterprises still face financing difficulties, and banks can’t achieve the desired loan amount. This is due to the management system of small enterprise itself is not perfect, financial information is not perfect and the outside world can’t trust the finance and development ability of small enterprises and so on. Those all make banks can’t take perfect credit evaluation for small enterprises and don’t have enough confidence in loaning to small enterprises. On the other hand, for small loans, banks need to pay high cost of loans, and can’t give reasonable loan interest rate to small enterprises according to the realistic situation, which often leads to small enterprises unable to bear the cost of loan for business development.Aiming at these problems, based on the actual customer data of 3111 small enterprises from one commercial bank, this paper selected indicators which own significant correlation with the default state of small enterprises loan through the stepwise discriminate analysis, eliminated indicators own repeated information and weak correlation through the clustering & coefficient of variation method, refined the primary index system with 81 indicators gained by research and analysis, and established the small enterprises loan credit evaluation index system including 19 indicators as result. Secondly, this paper establishes the logistic regression to calculate the probability of default (PD), and establishes the evaluation equation. Thirdly, calculated the loss given default (LGD) as the ratio of the capital & interest not received and should be charged, divided the credit of small enterprises into 9 levels under the principle that the higher the PD, the greater the LGD, and the lower the credit rating, and gained the PD and LGD corresponded every credit rating. And at last, based on the credit rating, this paper substituted the PD and LGD of every credit rating which have reflected the relationship between the PD and LGD to a certain extent into the Gauss Credit Return Model (GCRM) to get the loan pricing model for small enterprises; and at the same time, considering the existing regulations, and improving the calculation of the asset correlation coefficient in the current GCRM which have only considered PD through calculated the scale of the enterprise together, this paper established the loan pricing model for small enterprises, and has carried on the empirical analysis.