In the market transition of local government financing platform, the stripping of government’s implicit credit guarantee makes the field of credit market supply and demand lose balance, and thus the credit financing difficulties gradually arise. Based on the review of the traditional theory of credit market, this paper expounds the historical and realistic origin of the local debt, and describes the behavioral characteristics of the credit financing by describing the “double herding” and “pro cyclical” effect of the financing platform. The paper also uses the method of computational experiment and game simulation to analyze the complex credit market in the transition period. Based on the idea of “scenario coping” of computational experiment, it constructs and expands the credit financing game model of commercial bank and financing platform, and emphatically simulates how credit market transaction cost results from the change of policy factors and the evolution of guarantee income factor influences the credit financing dilemma in the context of market oriented transformation. Then, combining with the coefficient variables of game simulation model, it summarizes through the innovative syndicated loan model to jointly enhance the efficiency of credit financing, and the introduction of credit insurance services to diversify the risk of credit financing strategy choice.