Loan Rate Pricing of SME Financing based on Agent-based Computational Finance Approach

Abstract

From the perspective of Chinese commercial banks' loan pricing, combined with credit rationing theory, using the method of agent-based computational finance(ACF), to do the bank loan's simulation experiment both on “one cutting” type of interest rate pricing and a comprehensive pricing model. From the comparison, we found that the different interest rates pricing model impact SMEs loan. From the experiment when the loan interest rate raise to a certain extent, the earning of bank will reduce accompany by the increasing of interest rate, to some extent, reflecting the credit rationing phenomenon of SMEs(Small and Medium Enterprises). Through the experiment we found that the comprehensive loan interest rate pricing method slow down their financing difficulties, and they also don't reduce bank's earning. So the commercial banks should choose a reasonable interest rate pricing model, according to the loan amount, credit grade, asset-liability ratio, the way of security, and other indicators, according to the risk of small, low cost, and the specific circumstances of the borrower companies, to implement different interest rate.