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Determining appropriate loan-to-value ratios of commodity collateral can make banks mitigate credit risk of inventory financing effectively. Based on reduced-form approaches, this paper establishes a basic model on the determination of loan-to-value ratios. In this model, some factors, such as exogenous default probability, price volatility of commodity(More)
China's bulk stock electronic marketplace has developed fast in recent years, especially in the steel industry which close to the national industry. The forward electronic trading mode is becoming riper with the volume of steel trading in electronic marketplace sharing more market. This study analyzes the dynamic relationship between the forward price of(More)
In China, the bank is facing a challenging design problem of credit contract based on inventory financing. The paper studies credit contracts based on stock document mortgage with two risk-neutral gamers. Our model includes the case of a bank offering loan to a cooperative retailer who mortgages its inventory to the bank to finance more inventory. The(More)
To determine appropriate loan-to-value ratios of inventory collateral can make bank mitigate credit risk of inventory financing effectively. Based on reduced-form approaches, this paper assumes that the default of the enterprise is exogenous and follows a doubly stochastic Poisson process, and then provides a model on the determination of loan-to-value(More)
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