Pricing Export Credit: A Concise Framework with Examples and Implementation Code in R

By Claudio Franzetti

Book Overview

Pricing of export credit is a challenge in the globalised world trade. Annual premia represent billions of euros or dollars and may determine competition. This book develops a rigorous new framework for pricing export credit products, e.g. buyer and supplier credit insurance and performance and working capital guarantees, based on well-known financial and actuarial theories. It introduces the products, the theories and the different data sources in order to apply the mathematical and financial ideas, e.g. discounting, risk-neutral valuation and Merton type defaults. It shows the differences of historical experience and implicit market pricing assumptions. The well-known OECD Arrangement is used as a benchmark for some part of the framework. Short code snippets in R are given in order to re-perform the results and have a basis to try own ideas. Many unprecedented exhibits give new insights into the subject matter. The book is targeted at practitioners and actuaries in the field with agood quantitative background.

• Format: Paperback
• Language: English
• ISBN: 3030702871
• ISBN13: 9783030702878
• Release Date: May 2022
• Publisher: Springer
• Length: 246 Pages
• Weight: 0.85 lbs.
• Dimensions: 0.6" x 6.1" x 9.2"