Pricing Export Credit

A Concise Framework with Examples and Implementation Code in R

Claudio Franzetti (Autor)

Buch | Softcover

XXVI, 246 Seiten

2022 | 1st ed. 2021
Springer International Publishing (Verlag)
978-3-030-70287-8 (ISBN)

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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.

Claudio Franzetti was Chief Risk Officer of Swiss Export Risk Insurance in Zurich (Switzerland) and inter alia responsible for actuarial issues. Prior to that he held senior positions at Aon Resolution AG , was Head of Group Credit Portfolio Management and Managing Director of Deutsche Bank in Frankfurt (Germany), Head of Risk Management and Controlling of Swiss Re's investment division and senior consultant with iris AG in Zurich (Switzerland). Before entering the finance industry, he started as research engineer with Brown Boveri & Cie., then Asea Brown Boveri, in Baden (Switzerland) in the field of computational fluid dynamics.

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.

Erscheinungsdatum	10.05.2022
Reihe/Serie	Management for Professionals
Zusatzinfo	XXVI, 246 p. 104 illus.
Verlagsort	Cham
Sprache	englisch
Maße	155 x 235 mm
Gewicht	421 g
Themenwelt	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
Themenwelt	Wirtschaft ► Betriebswirtschaft / Management ► Unternehmensführung / Management
Schlagworte	Code R • credit risk • Credit Risk Management • Export Credit • Export Import • Marketing Pricing
ISBN-10	3-030-70287-1 / 3030702871
ISBN-13	978-3-030-70287-8 / 9783030702878
Zustand	Neuware