Abstract: Small enterprises are an important part of the national economy. However, because of their imperfect credit information and irregular management, it is difficult to grade their credit. Banks are limited by the control of credit risk and reluctant to lend or even not to lend to small enterprises, which leads to difficulties in financing and restricts the development of small enterprises. Therefore, it is very important to carry out research on credit rating of small enterprises to help alleviate the financing difficulties.Facility rating aims to estimate the default probability of a debt. It seems to be a good choice to build a rating indicator system according to discriminatory power of individual indicators, but it is not so. Because single indicator with strong discriminatory power cannot guarantee indicator system that they compose has strong discriminatory power, too.Brier score is combined with step-by-step backward elimination algorithm, and selected indicator system with strong discriminatory power between two indicator systems including n and n-1 indicators according to that the higher the scores S_i of non-default customers, the larger the distance between S_i and non-default state (y_i=0) and the lower the scores S_i of default customers, the larger the distance between S_i and default state (y_i=1), which means b value of scores will be bigger and the discriminatory power of the indicator system will be strong. What’s more, by comparing the b value of the indicator system composed of the indicator with strong discrimination with the b value of the indicator system established in this paper, it is proved that the indicator system whose indicator with strong discrimination may not have the strong discrimination, and when constructing the credit rating indicator system, we should pay more attention to the overall default discrimination of the indicator system, rather than the default discrimination of single indicator.Using the 3 045 small enterprises from a Chinese bank as empirical sample, it is shown that although the single indicator has the maximum discriminatory ability, the indicator system they compose may not have the most significant ability to discriminate default risk. And non-financial indicators play a more important role in the credit rating of small enterprises.The results of this study can be directly applied to credit rating, loan pricing and guarantee decision-making of small enterprises. Research methods and ideas can be extended to the credit rating of large and medium-sized enterprises, individuals and other objects.

Key words: credit rating, facility rating, indicator system selection, discriminatory power, Brier Score