Pricing Export Credit

1. Front Matter

   Pages i-xxvi

   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

    PDF

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.

• Code R
• Export Credit
• Export Import
• Marketing Pricing
• Credit Risk Management
• Credit Risk

• Zürich, Switzerland

  Claudio Franzetti

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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