By analyzing the financing difficulties faced by the small and medium-sized firms, the paper built an artificial credit markets with the agent-based computational modeling to simulate the real world credit transactions. There are firms, banks, different risk-type projects as well as legal and supervision environments in which debt contracts constitute the financial instruments. The simulation results show that the number of collateral, average success probability of projects, and the prime interest rate have materially impact on bank’s average profit, bank’s capital, the overall interest rate,the number of borrowing firms, loan size, and the degree of credit rationing. These results in line with those of the classical S-W model in the sense that the relationship between bank profits and interest rates is non-monotonic as well as the relationship between credit rationing and interest rates. And thus there is an adverse selection effect in credit rationing theory. By analyzing the financing difficult faced by the small and medium-sized firms, the paper built an artificial credit markets with the agent-based computational modeling to simulate the real world credit transactions. There are firms, banks, different risk-type projects as well as legal and supervision environments in which debt contract constitute the financial instruments. The simulation results show the number of collateral, average success probability of projects, and the prime interest rate have materially impact on bank’s average profit, bank’s capital, the overall interest rate the number of borrowing firms, loan size, and the degree of credit rationing. credit rationing and interest rates. And therefore there is an adverse selection effect in credit rationing theory.