A Simple Factoring Pricing Model
11 Pages Posted: 2 Aug 2019
Date Written: July 29, 2019
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.
Keywords: Factoring, Credit Risk, Bankruptcy, Default Correlation, Kendall’s Tau, Gumbel Copula
JEL Classification: G12, G13, G33, G38
Suggested Citation: Suggested Citation