A Simple Factoring Pricing Model

11 Pages Posted: 2 Aug 2019

Date Written: July 29, 2019

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.

Keywords: Factoring, Credit Risk, Bankruptcy, Default Correlation, Kendall’s Tau, Gumbel Copula

JEL Classification: G12, G13, G33, G38

Suggested Citation

Nava, Ilaria and Cuccio, Davide and Giada, Lorenzo and Nordio, Claudio, A Simple Factoring Pricing Model (July 29, 2019). Available at SSRN: https://ssrn.com/abstract=3428749 or http://dx.doi.org/10.2139/ssrn.3428749

Ilaria Nava (Contact Author)

illimity bank ( email )

Via Soperga
Milano
Italy

Davide Cuccio

illimity bank ( email )

Via Soperga
Milano
Italy

Lorenzo Giada

illimity Bank ( email )

Via Soperga 9
Milano
Italy

Claudio Nordio

illimity bank ( email )

Milano
Italy

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