This paper is devoted to the credit risk modeling issues of small commercial loans portfolios. We propose specific solutions dealing with the most important peculiarities of these portfolios: their large size and the limited information about the financial situation of borrowers. We then compute the probability density function of futures losses and VaR measures in a portfolio of 220.000 French SMEs. We also compute marginal risk contributions in order to discuss the loan pricing issue of small commercial loans and to compare the capital requirements derived from our model with those derived from the New Ratings-Based Basel Capital Accord.