A Simple Factoring Pricing Model
Pricing of Securities
2019-07-31 v1
Abstract
In a simplified setting, we show how to price invoice non-recourse factoring taking into account not only the credit worthiness of the debtor but also the assignor's one, together with the default correlation between the two. Indeed, the possible default of the assignor might impact the payoff by means of the bankruptcy revocatory, especially in case of undisclosed factoring.
Cite
@article{arxiv.1907.12806,
title = {A Simple Factoring Pricing Model},
author = {Ilaria Nava and Davide Cuccio and Lorenzo Giada and Claudio Nordio},
journal= {arXiv preprint arXiv:1907.12806},
year = {2019}
}
Comments
11 pages, 2 figures