Pricing export credit : a concise framework with examples and implementation code in R / Claudio Franzetti.
Franzetti, Claudio.
2021
HG3753
Available Online

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Title Pricing export credit : a concise framework with examples and implementation code in R / Claudio Franzetti.
Author Franzetti, Claudio.
ISBN 9783030702854 (electronic bk.)
3030702855 (electronic bk.)
3030702847
9783030702847
DOI https://doi.org/10.1007/978-3-030-70285-4
Publication Details Cham : Springer, 2021.
Language English
Description 1 online resource
Item Number 10.1007/978-3-030-70285-4 doi
Call Number HG3753
Dewey Decimal Classification 332.7/42
Summary 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 a good quantitative background.
Bibliography, etc. Note Includes bibliographical references and index.
Access Note Access limited to authorized users.
Source of Description Online resource; title from PDF title page (SpringerLink, viewed May 12, 2021).
Series Management for professionals, 2192-8096
Available in Other Form Pricing export credit.
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Record Appears in Online Resources > Ebooks
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Chapter 1. Motivation
Chapter 2. Export Credit Industry
Chapter 3. Insurance Background
Chapter 4. Finance Fundamentals
Chapter 5. Preliminaries
Chapter 6. New Premium Framework
Chapter 7. Historic Default Rates
Chapter 8. Market Version of the Framework
Chapter 9. Minimum Interest Calculation
Chapter 10. Comparison with OECD Arrangement
Chapter 11. Other Pricing
Chapter 12. Conclusions.

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