关键词: 信用评级, 风险等级匹配, 普惠金融, 小额信贷, 商户

Abstract: One of the main tasks of credit rating is to distinguish different clients using loss given default (LGD) parameter. However, it is very common in reality that many credit rating systems seem properly if we only look at their indicators, customers with higher credit rating still have higher corresponding LGD in those systems. Therefore, an ideal credit rating result should meet the credit risk-rating match-up standard that the credit rating increases with the decreasing LGD. Secondly, the existing credit rating results don't match with the target profit point of commercial banks, so the credit rating approaches do not have the functions of credit decisions. Bankers or credit clerks cannot locate the qualified customers who can realize the bank's target profit.
To fill in the above gaps, this paper advances in three aspects. First, based on considering small private businesses' LGD and achieving banks' target profit, a novel credit rating ideal is put forward that the higher credit rating comes with the lower corresponding LGD. Second, a nonlinear programming credit rating model which is consisted of two objective functions and three constraint conditions has been created. The constraint condition 0 < LGD₁ < LGD₂ < … < LGD₉ ≤ 1 can ensure that the credit rating result meets the credit risk-rating match-up standard. And the objective function max f=(N₁ + N₂ + … + N_j)/N can guarantee that the number of customers to get loans on the premise of achieving banks' goals profits is maximal. It reflects the inclusive finance concept that credit funds benefit more small private business. Third, by using a Chinese national commercial bank's 2157 small private business microfinance loan samples from 29 provinces, the proposed model has been verified. The empirical results show that by designing a reasonable credit rating mechanism, we can go out of the dilemma that commercial banks were reluctant to lend, the plight of honest merchants can not be got loans.
Our research not only has practical significance for credit risk assessment of the 2157 small private business microfinance, but also offers a new insight into credit risk decision evaluation of customers in other commercial banks in the world. In addition, a new reference is provided for CBRC and commercial banks practicing the inclusive finance.

Key words: credit rating, credit risk-rating match-up, the inclusive finance, microfinance, small private business