A Correlation Analysis of Credit Risk, Interest Rate and Ezchange Rate

摘要：

Economic theories tell us that credit risk and market risk are intrinsically related to each other. There is a negative correlation between them. This paper reviews previous studies, and then analyzes the main elements of credit risk include exposure at default (EAD). probability of default (PD) and loss given default (LGD). Loss exposure is equal to the product of EAD. PD and LGD. The greater credit risk, the greater the expected loss. And then derives the conduction paths about the interaction of interest rate and exchange rate. The conduction paths of interest rate acting on exchange rate, this paper analyze the conduction path by the change of the cost of credit loan. The conduction paths of exchange rate acting on interest rate, this paper analyze the path of commodity price which connect with credit capital. The conduction path through the commodity prices displays in two aspects: the prices in the export and import both. Finally, we try to establish a macroeconometric model. In this model we put credit risk, interest rate and excliange rate into a system to study the correlation among each other by empirical investigation.

关键词： Credit risk Interest rate Ezchange rate conduction path Correlation

作者: Xinru Li Hua Fang Zhongbao Zhou Xin Zhou

作者单位: School of Business Administration, Hunan University, Changsha 410082,P.R. China School of Business Administration, Hunan University, Changsha 410082, P.R. China

会议类型: 国际会议

会议名称: The First World Congress on Global Optimization in Engineering & Science(第一届工程与科学全局优化国际会议 WCGO2009)

会议地点: 长沙

会议语种:英文

页码: 663-668

在线出版日期: 2009-06-01（万方平台首次上网日期，不代表论文的发表时间）