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

by Claudio Franzetti
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Current price ₹5,964.00
Original price ₹9,175.00
Original price ₹9,175.00
Original price ₹9,175.00
(-35%)
₹5,964.00
Current price ₹5,964.00

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Book cover type: Hardcover
  • ISBN13: 9783030702847
  • Binding: Hardcover
  • Subject: Business Management
  • Publisher: Springer Verlag
  • Publisher Imprint: Springer
  • Publication Date:
  • Pages: 246
  • Original Price: EUR 84.99
  • Language: English
  • Edition: N/A
  • Item Weight: 558 grams
  • BISAC Subject(s): Corporate Finance / General, Industries / Financial Services, and Finance / General

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.

Claudio received a Master's degree in economics from the University of St. Gallen (Switzerland) and a Master in Mechanical Engineering from the Swiss Federal Institute of Technology (ETH) in Zurich (Switzerland).

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