Some premium cheese here in Europe can be sold to up to 1000$ a wheel. What makes them worth that much is however rather the rarity of them more than fan people pay to pay that much.
Yes, this is the law: bids and offers make the price. By the way, a good parmesan will be priced even more when seasoned for 24/48 months, so it's a very good collateral for a 1/2 years loan.
I think it's unlikely that the world demand for italian dop parmesan will drop quickly, so i did not find strange using it as a collateral.
Rarity definitely makes things worth more...as long as people are actually looking for said rare item.
Supply & Demand. If the supply is low, but demand is high, it will be "worth" more. If supply is low, but so is demand, that isn't true. It's not only the rarity that drives the price, but peoples' desire to still obtain it at that price.