Loan to Value to Newsvendor Based on Stock Document Mortgage
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 retailer faces a random demand in a single sales season as in the classical newsvendor problem. By game theorem, we give the optimal loan to value to retailers with different initial capital. We show the wholesale price, the storage cost and the salvage price have influence to bankruptcy risk and loan to value, as well as the initial capital. Finally, based on our model analysis, we give some advices.
newsvendor stock document mortgage loan to value bankruptcy risk
Yuanyuan Zhang Shouyang Wang Gengzhong Feng
School of Business Administration China University of Petroleum Beijing, P.R. China Academy of Mathematics and Systems Sciences Chinese Academy of Sciences Beijing, P.R. China School of Management Xian Jiaotong University Xian, P.R. China
国际会议
上海
英文
2007-09-21（万方平台首次上网日期，不代表论文的发表时间）