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

by Claudio Franzetti

Part of the Management for Professionals series

Paperback / softback

Available to Order - This title is available to order, with delivery expected within 2 weeks

Description

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.