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Pricing Export Credit - A Concise Framework with Examples and Implementation Code in R (Hardcover, 1st ed. 2021)
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Pricing Export Credit - A Concise Framework with Examples and Implementation Code in R (Hardcover, 1st ed. 2021)
Series: Management for Professionals
Expected to ship within 12 - 17 working days
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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 a good quantitative background.
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