An Empirical Research On Constructing China’s SME Credit Risk Measurement System For Commercial Bank Based On IRB

In the past century, the financial industry has been the high-speed development, but also the global economy plays an increasingly important role. Financial Services Modernization Act of1999introduced the mixed operation of the banking, securities and insurance, from the global financial industry has made unprecedented development. However, financial innovation has brought a wave of financial liberalization, which greatly exacerbated the competition in the financial sector, also spawned more and more complex financial risk, and ultimately lead to many financial crises in recent decades, these financial crisis led world economic suffered considerable negative impact and serious losses. In this background, how to manage the risks of the financial sector, increasingly get national attention.However, during the financial crisis, the extent of the losses suffered by individual countries are not exactly the same. I think the reason is largely different pattern and intensity of each country’s financial regulatory and the financial risk prevention capability distinction, In China, the financial sector is an important part of the economy. The bank is the most important part of China’s financial industry, so banks risk prevention is the focus of the financial industry to prevent.Based on their own risk factors of SMEs’ management and Credit Risk measurement index system of SMEs’Loans,this paper builds SMEs credit scoring model by use of validating methods and transformation methods for the model according to Basel Ⅱ,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 SMEs for commercial bank, which improve the management level of credit risk according to empirical support.Obviously, it has certain reference value to the reality.