Research On Loan Pricing To Small And Medium Enterprises Under Basel ?

With the introduction of BIII and the Chinese edition of Basel III, Measures for the Management of Commercial Banks' Capital in June, 2012,the factors which commercial banks consider in Small and Medium Enterprises' loan pricing have changed greatly. As a matter of fact, it puts forward a more stricken requirement to commercials' capacity of loan pricing. This article is based upon this background and it may help our commercial banks grasp the main factors that influence the loan pricing to SMEs under the Basel III and the Chinese edition of Basel III in order to give a more favorable loan rate for Small-and-Medium Enterprises and promote the development of SMEs.On the basis of large quantities of related literature about loan pricing to SMEs at home and abroad, this article expounds the theories of loan pricing to SMEs intensively, then analyses the main direct and indirect factors through which the Basel III has effects upon loan pricing to SMEs. At last, we boil down to three basic factors by Basel III which is included in our empirical model, that is, the capital risk-premium under Basel III, the expected loss and other costs of loaning under Basel III, the relationship between commercial bank and SMEs under Basel III. In order to better analyze the effect of Basel III on loan pricing to SMEs quantitatively, this paper collects 50 SMEs' financial statement data which keep good relationship with commercial banks, selects the weighted average loan rate by month from 2011 to 2014 as the dependent variable. During the process, this paper is based on the adjusted RAROC model and chooses Shibor one-month interest rate to measure the opportunity cost of economic capital in order to calculate the capital risk-premium under Basel III;uses the Credit Scoring Model to calculate the weighted average of the probability default; estimates the default loss rate by the ratio of the loss loan through investigation and research under the Chinese edition of Basel III; conclude the comprehensive contribution by SMEs to commercial banks on the basis of the comprehensive revenues from loans to SMEs, comprehensive revenues from intermediate businesses and comprehensive revenues from deposit of SMEs in order to measure the relationship coefficient of SMEs. On the basis of the above data, we examine the short-term relationship among all the variables through the VAR model at first; then based upon the short-term relationship we take further research that is thelong-term dynamic relationship through the State Space Model. Finally, we conclude some useful results through the empirical tests:(1)All the independent variables have influence on loan pricing to SMEs under Basel III, and there exists a stable short-term relationship among them;(2)The capital risk-premium under Basel III,the expected loss and other costs of loan under Basel III have a apparent positive-going effect to loan pricing to SMEs;(3)The relationship between commercial bank and SMEs has a more and more important significance to loan pricing to SMEs under Basel III though fluctuate frequently. Based on the above content, this article puts forward some suggestions as follows: Making a point of practicing Basel III; Comprehensively implementing the Chinese edition of Basel III, Strengthen the philosophy of Comprehensive Risk Management; Attach importance to improving the relationship between bank and SMEs. Only through these measures can our commercial banks offer a more favorable interest rate of loan pricing to SMEs.