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Pricing Export Credit

A Concise Framework with Examples and Implementation Code in R

  • Book
  • © 2021

Overview

Authors:
  1. Claudio Franzetti

    1. Zürich, Switzerland

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  • Offers a rigorous analysis and application of financial fundamentals to export credit pricing
  • Presents elaborated examples and comparisons of different methods and theories
  • Includes code snippets in R to recreate the results

Part of the book series: Management for Professionals (MANAGPROF)

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Table of contents (12 chapters)

  1. Front Matter

    Pages i-xxvi
    Download chapter PDF

  2. Motivation

    • Claudio Franzetti
    Pages 1-17

  3. Export Credit Industry

    • Claudio Franzetti
    Pages 19-71

  4. Insurance Background

    • Claudio Franzetti
    Pages 73-85

  5. Finance Fundamentals

    • Claudio Franzetti
    Pages 87-135

  6. Preliminaries

    • Claudio Franzetti
    Pages 137-153

  7. New Premium Framework

    • Claudio Franzetti
    Pages 155-166

  8. Historic Default Rates

    • Claudio Franzetti
    Pages 167-172

  9. Market Version of the Framework

    • Claudio Franzetti
    Pages 173-192

  10. Minimum Interest Calculation

    • Claudio Franzetti
    Pages 193-197

  11. Comparison with OECD Arrangement

    • Claudio Franzetti
    Pages 199-204

  12. Other Pricing

    • Claudio Franzetti
    Pages 205-219

  13. Conclusions

    • Claudio Franzetti
    Pages 221-223

  14. Back Matter

    Pages 225-246
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Keywords

About this book

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.

Authors and Affiliations

  • Zürich, Switzerland

    Claudio Franzetti

About the author

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).

Bibliographic Information

  • Book Title: Pricing Export Credit

  • Book Subtitle: A Concise Framework with Examples and Implementation Code in R

  • Authors: Claudio Franzetti

  • Series Title: Management for Professionals

  • DOI: https://doi.org/10.1007/978-3-030-70285-4

  • Publisher: Springer Cham

  • eBook Packages: Economics and Finance, Economics and Finance (R0)

  • Copyright Information: The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerland AG 2021

  • Hardcover ISBN: 978-3-030-70284-7Published: 08 May 2021

  • Softcover ISBN: 978-3-030-70287-8Published: 08 May 2022

  • eBook ISBN: 978-3-030-70285-4Published: 07 May 2021

  • Series ISSN: 2192-8096

  • Series E-ISSN: 2192-810X

  • Edition Number: 1

  • Number of Pages: XXVI, 246

  • Number of Illustrations: 104 b/w illustrations

  • Topics: Business Finance, Financial Services, Capital Markets, International Business

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