SME Credit Guarantee Risk Allocation and Risk-based Pricing Mechanism
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| Title | SME Credit Guarantee Risk Allocation and Risk-based Pricing Mechanism
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| Author | Liu Liya, Hu Naihong, Ma Xiaoqing and Liu Wei |
| Organization | |
| Email | liuliya@mail.shufe.edu.cn ;liuliya0112@163.com |
| Key Words | Credit Guarantee Credit; Risk Guarantee Mechanism; Risk Pricing; CreditMetrics Model |
| Abstract | The guarantee agencies are primarily commercial in China, which is different from policy-support guarantee agencies in other countries. Are commercial guarantee agencies able to really ease the problem of China's SME credit missing? How to truly achieve risk-sharing and revenue sharing between the parties involved? Based on these questions, this paper firstly analyzes the game process among SME, commercial banks, guarantee agencies and commercial guarantee insurer and shows that the participation of guarantee agencies and insurer can significantly improve the willingness of commercial banks to lend to SMEs; Meanwhile, this paper presents the guarantee coverage ratio of guarantee institutions and the coverage interval of commercial insurer in the process of risk-sharing. Secondly, this paper adopts CreditMetrics model to determine the guarantee premium for single load and loan portfolio based on SME’s loan database from a city commercial bank. Finally, this paper presents the development strategies of commercial guarantee insurer and the necessary conditions to more accurate pricing. |
| Serial Number | WP143 |
| Time | 2011-10-28 |
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