On Loan-to-Value Ratios of Inventory Financing with Doubly Stochastic Poisson Default Processes

摘要：

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 tbe determination of loan-to-value ratios for banks. In this model, some factors, such as risk appetite of banks, expected rate of return and price volatility of collateral, frequency of marking to market and maturity time of loan, are considered synthetkaDy, so banks may determine appropriate loan-to-value ratios of particular Inventory financing operation to keep the level of taken risk consistent.

关键词： collateral Credit risk Inventory financing Loan-to-value ratios

作者: Yixue Li Yu Xu Gengzhong Feng Wenqiang Dai

作者单位: School of Management, Xian Jiaotong University, Xian, 710049,P.R. China

会议类型: 国际会议

会议名称: 2006 Asia-Pacific Services Computing Conference(IEEE亚太地区服务计算会议)

会议地点: 广州

会议语种:英文

页码: 663-666

在线出版日期: 2006-12-12（万方平台首次上网日期，不代表论文的发表时间）