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

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

  • Length: 272 pages
  • Edition: 1
  • Publisher:
  • Publication Date: 2021-05-08
  • ISBN-10: 3030702847
  • ISBN-13: 9783030702847
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 a good quantitative background.

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