摘要翻译：
从直觉上看，当单个借款人的资产和债务以不同的货币计价时，其违约风险更高。此外，拥有不同货币资产和债务的借款人的违约依赖性应该比单一货币情况下更强。通过结合Merton(1974)、Garman和Kohlhagen(1983)和Vasicek(2002)的著名模型，我们发展了考虑汇率风险的PDs和资产相关性的简单表示。从这些结果可以导出一致性条件，这些条件将PD的变化与资产相关性联系起来，并且不需要诸如资产价值波动性等难以估计的参数的知识。
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英文标题：
《Incorporating exchange rate risk into PDs and asset correlations》
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作者：
Dirk Tasche
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最新提交年份：
2007
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  Intuitively, the default risk of a single borrower is higher when her or his assets and debt are denominated in different currencies. Additionally, the default dependence of borrowers with assets and debt in different currencies should be stronger than in the one-currency case. By combining well-known models by Merton (1974), Garman and Kohlhagen (1983), and Vasicek (2002) we develop simple representations of PDs and asset correlations that take into account exchange rate risk. From these results, consistency conditions can be derived that link the changes in PD and asset correlation and do not require knowledge of hard-to-estimate parameters like asset value volatility.
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PDF链接：
https://arxiv.org/pdf/0712.3363