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Intuitively, the default risk of a single borrower is higher when her or hisassets and debt are denominated in different currencies. Additionally, thedefault dependence of borrowers with assets and debt in different currenciesshould be stronger than in the one-currency case. By combining well-knownmodels by Merton (1974), Garman and Kohlhagen (1983), and Vasicek (2002) wedevelop simple representations of PDs and asset correlations that take intoaccount exchange rate risk. From these results, consistency conditions can bederived that link the changes in PD and asset correlation and do not requireknowledge of hard-to-estimate parameters like asset value volatility.

Incorporating exchange rate risk into PDs and asset correlations