| dc.description.abstract | This paper explores the credit risk of Small Medium Enterprise Gauranteed (SMEG) loans. In order to make readers be more familiar with SMEG, the first part of this article introduces the foreign and domestic SMEG system. Subsequently, including in the sample firms with record of government guarantee in 2001 JCIC database, we calculate PD and RR by Moody’s PFM and LossCalc model separately. Finally, we use these two factors to get VaR.
The empirical research tests the following seven characteristics: 1.industry, 2.firm scale, 3.loan size and the ratio of loan amount to total asset or liability, 4.bank NPL ratio of last year, 5. relationship with banks, 6.accountant auditing opinion, 7.proponed-payment record.The results reveal that PD increases according to scale, loan size and the number of banks rises. Traditional industry has the highest PD；Collateral ratio、 default exposure ratio、PD、return of industry index、GDP growth rate and interest rate are influential expected factors of RR.When the SMEG exercises replacement payment for default loans, there are significant differences among loan size、last year NPL ratio and the number of relative banks. Besides, collateral loans have higher RR than credit loans; while loans mortgaged by land and plant have higher RR than SMEG loans. The usage ratio has negative relationship with RR. Portfolios of Electronic industry、higher NPL ratio and more relative banks have higher credit VaR..
Finally, no matter in PD, RR or VaR, accountant auditing opinion and record of proponed-payment has no distinctive ability. Owing to the less transparency of the accounting system of SME, accountant auditing opinion tends to be manipulated. The number of proponed-payment sample, less than 30 firms, is not sufficient to show the credit risk. | en_US |