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

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Claudio Franzetti

Pricing Export Credit

A Concise Framework with Examples and Implementation Code in R

Claudio Franzetti

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English

Springer Nature Switzerland AG
08 May 2022

Corporate finance; Business & management; Financial services industry

Series: Management for Professionals

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.

By: Claudio Franzetti
Imprint: Springer Nature Switzerland AG
Country of Publication: Switzerland
Edition: 2021 ed.
Dimensions: Height: 235mm, Width: 155mm,
Weight: 421g
ISBN: 9783030702878
ISBN 10: 3030702871
Series: Management for Professionals
Pages: 246
Publication Date: 08 May 2022
Audience: Professional and scholarly , Undergraduate
Format: Paperback
Publisher's Status: Active

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.

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).