Juan, He; Xianglin, Jiang; Jian, Wang; Daoli, Zhu; Lei, Zhen - In: European Journal of Operational Research 223 (2012) 1, pp. 106-115
This paper proposes the way of setting the dynamic impawn rate by dividing the impawn periods into different risk windows. In an efficient financial market, the return is hypothetically independent, while in a pledged inventory market where spot transactions predominate, the return is...