System for providing information by calculating and displaying, as index, credit risk of each country from market prices of exchange rates between two countries, and comparing the credit risks with credit risk in rating agency, and system for providing information by comparing logical exchange rate and market exchange rate between different kinds of currencies

Abstract

To provide a system for calculating and displaying credit risk of each of two countries from market prices of exchange rates between the countries.SOLUTION: A system is configured to: calculate a default probability within a period of T years from market prices of exchange rates of two countries; calculate credit risk; and provide information by comparing the credit risk with credit risk in a rating agency. The system is further configured to: calculate a default probability from comparing different kinds of currencies; calculate credit risk; and provide information by comparing the credit risk with credit risk in a rating agency.SELECTED DRAWING: None

Description

[Technical field]

[0001] The present invention relates to a system that calculates the credit risk of each country from the actual exchange rate between two countries, displays it as an index, and provides information by comparing it with the credit risk of rating agencies and the like, and a system that provides information by comparing theoretical exchange rates between different currencies with market exchange rates. [Background technology]

[0002] Currency options traded in the market. Summary of the Invention [Problem to be solved by the invention] There is no way to calculate the credit risk of each country from the current exchange rates between the two countries. There is no calculation method to compare theoretical exchange rate prices between different currencies. [Means for solving the problem] Regarding the method for calculating the credit risk of each country based on the exchange rate between two countries, a specific calculation method is explained below based on a transaction example. Example of a transaction USD / JPY Currency Options Exchange rate: E yen / US dollar Type: USD put / JPY call Amount: X USD Period: T years Strike price: E yen (At The Money) Knock-in price: 1 yen (default point) Exercise method: American type Default settlement amount: (E-1) x X yen Premium: P yen In the example transaction, the default point for the United States is assumed to be when the exchange rate falls to 1 yen per US dollar. Since the transaction is American-type, the option will be exercised at the knock-in price of 1 yen (at the time of default). Here we consider the probability of default within a period of T years. For example, when selling a put option, the amount to be paid in the event of default is (E-1) x X yen. The consideration is the premium, P, so the default probability is: Default probability = P / (E-10) x X It is a model that calculates the credit risk of the United States based on the default probability of the United States. The transaction examples for which the index can be published are based on the default probability of the United States, but it can be calculated based on the default probability of Japan, and the credit risk of Japan can also be calculated. That index can also be published. A similar relationship can be constructed for all other countries with foreign exchange markets, and credit risk can be calculated. The index can also be published. Furthermore, while the transaction example shows the relationship between the US dollar and the yen, it is also possible to use combinations between all different currencies, such as the US dollar and the euro, the US dollar and the pound, etc. By comparing the US default probability calculated between different currencies, it becomes possible to compare prices between all different currencies. The specific calculation method for the above transaction example can be calculated using a binomial model. Effect of the Invention The credit risk index of all countries with foreign exchange markets is used as a basis for investment decisions. Furthermore, it is compared with the ratings of rating agencies and used as a basis for investment decisions. By comparing theoretical exchange rates between different currencies, you can use this information to make buying and selling decisions in foreign exchange markets. DETAILED DESCRIPTION OF THE PREFERRED EMBODIMENTS We have created a system that calculates the credit risk of each country from the actual exchange rate between two countries and provides this information to customers from a financial market transaction information provider via a network, and a system that calculates theoretical exchange rates between different currencies and provides this information.

Claims

1. A system that calculates the credit risk of each country based on the current exchange rate between two countries, displays it as an index, and provides information by comparing it with the credit risk of rating agencies, etc.

2. A system that provides information by comparing theoretical exchange rates and market exchange rates between different currencies.