Export Credit Guarantees: Information Evaluation, Valuation, and Portfolio Management
Diersen, Matthew Allen
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https://hdl.handle.net/2142/83035
Description
Title
Export Credit Guarantees: Information Evaluation, Valuation, and Portfolio Management
Author(s)
Diersen, Matthew Allen
Issue Date
1999
Doctoral Committee Chair(s)
Sherrick, Bruce J.
Department of Study
Agricultural Economics
Discipline
Agricultural Economics
Degree Granting Institution
University of Illinois at Urbana-Champaign
Degree Name
Ph.D.
Degree Level
Dissertation
Keyword(s)
Economics, Finance
Language
eng
Abstract
The third aspect examined is the management of a guarantee portfolio. A framework is needed to understand the tradeoff between extending guarantees and their expected liability to the guarantor. The actions of a guarantor are modeled, and it is shown that a risk-efficient guarantee program would operate on a frontier. The existing General Sales Manager guarantee portfolio is then modeled, and the portfolio's sensitivity to potential policy changes and external shocks is examined. The results quantify the impacts of changes in activity level, coverage, and other terms.
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