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

Export credit pricing is a complex challenge in globalized trade, with annual premia representing billions of euros or dollars. This book develops a rigorous new framework for pricing export credit products based on financial and actuarial theories, introducing the products, theories, and data sources to apply mathematical and financial ideas. It highlights the differences between historical experience and market pricing assumptions and uses the OECD Arrangement as a benchmark. The book is targeted at practitioners and actuaries with a quantitative background.

Format: Paperback / softback
Length: 246 pages
Publication date: 08 May 2022
Publisher: Springer Nature Switzerland AG

Export credit pricing is a complex issue in the globalized world of trade. Annual premia, which can amount to billions of euros or dollars, play a crucial role in determining competition. This book presents a comprehensive new framework for pricing export credit products, including buyer and supplier credit insurance, performance and working capital guarantees. It builds upon well-established financial and actuarial theories, introducing the products, theories, and data sources necessary to apply mathematical and financial concepts such as discounting, risk-neutral valuation, and Merton-type defaults. The book explores the differences between historical experience and implicit market pricing assumptions, using the OECD Arrangement as a benchmark for certain aspects of the framework. Short code snippets in R are provided to allow readers to reproduce the results and test their own ideas. Numerous unprecedented exhibits offer fresh perspectives on the subject matter. This book is designed for practitioners and actuaries with a strong quantitative background, providing valuable insights into the pricing of export credit products.

Weight: 421g
Dimension: 235 x 155 (mm)
ISBN-13: 9783030702878
Edition number: 1st ed. 2021