Credit Risk Rating System of Small Enterprises Based on the Index Importance

The main criteria to establish the credit risk evaluation index system is the indicators default identification ability. There is mutual influence between indices, a single index which has the default identification ability, but if put this indicator into the index system, and it will no longer have the default identification ability because of the impact of other indicators. This study therefore deletes the indicators of repeated information using colinearity diagnostics, and determines the order of indicators into the index evaluation system by calculating the score statistic of every indicator. We established credit risk evaluation index system of small businesses, including 14 indicators, such as cash ratio, the corporate credit situation nearly 3 years, by extracting the related data of 28 regional commercial bank branches of China, and the judgment accuracy of default and non default samples is 99.0%.