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.
| Autorius: | Claudio Franzetti |
| Serija: | Management for Professionals |
| Leidėjas: | Springer Nature Switzerland |
| Išleidimo metai: | 2021 |
| Knygos puslapių skaičius: | 272 |
| ISBN-10: | 3030702847 |
| ISBN-13: | 9783030702847 |
| Formatas: | 241 x 160 x 21 mm. Knyga kietu viršeliu |
| Kalba: | Anglų |
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