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Hui, C. H.


 SSRN Author Rank: 1,710 by Downloads
 

Hong Kong Monetary Authority - Research Department


 Hong Kong
 China
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. Hui, C. H.'s Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
11,005
Total
Citations
131
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
One-Touch Double Barrier Binary Option Values | Show Abstract | Download |
Applied Financial Economics, Vol. 6, pp. 343-346, 1996
Accepted Paper Series
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
08 May 07
1,082
(9,777)
12

2.  
Crash Risk of the Euro in the Sovereign Debt Crisis of 2009-2010 | Show Abstract | Download |
Journal of Banking and Finance, Vol. 35, pp. 2945–2955, 2011
Accepted Paper Series
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Chung, T. K.
Hong Kong Monetary Authority - Research Department
Posted:
28 Jun 10
Last Revised:
05 Jul 12
841
(14,397)
3

3.  
Wong, T. C.
Hong Kong Monetary Authority - Research Department
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
01 Apr 09
Last Revised:
05 May 09
564
(25,510)
2

4.  
Constant Elasticity of Variance Option Pricing Model With Time-Dependent Parameters | Show Abstract | Download |
International Journal of Theoretical and Applied Finance, Vol. 3, No. 4, pp. 661-674, 2000
Accepted Paper Series
Lo, Chi-Fai
The Chinese University of Hong Kong
Yuen, P. H.
affiliation not provided to SSRN
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
08 May 07
548
(26,574)
8

5.  
Time Dependent Barrier Option Values | Show Abstract | Download |
Journal of Futures Markets, Vol. 17, No. 6, pp. 667-688, 1997
Accepted Paper Series
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
08 May 07
445
(34,981)
7

6.  
A Simple Approach for Pricing Barrier Options with Time-Dependent Parameters | Show Abstract | Download |
Quantitative Finance, Vol. 3, No. 2, pp. 98-107, 2003
Accepted Paper Series
Lo, Chi-Fai
The Chinese University of Hong Kong
Lee, H. C.
Department of Physics
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
07 May 07
440
(35,482)
11

7.  
Lo, Chi-Fai
The Chinese University of Hong Kong
Chung, T. K.
Hong Kong Monetary Authority - Research Department
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
21 Jan 08
377
(42,945)
 

8.  
Currency Barrier Option Pricing With Mean Reversion | Show Abstract | Download |
Journal of Futures Markets, Vol. 26, No. 10, pp. 939-958, January 2006
Accepted Paper Series
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, Chi-Fai
The Chinese University of Hong Kong
Posted:
26 Apr 07
375
(43,230)
5

9.  
Liquidity, Risk Appetite and Exchange Rate Movements during the Financial Crisis of 2007-2009 | Show Abstract | Download |
Hong Kong Monetary Authority Working Paper No. 11/2009
Working Paper Series
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Genberg, Hans
University of Geneva - Graduate Institute of International Studies (HEI)
Chung, T. K.
Hong Kong Monetary Authority - Research Department
Posted:
30 Jun 09
Last Revised:
26 Aug 09
319
(52,424)
 

10.  
Benchmarking Model of Default Probabilities of Listed Companies | Show Abstract | Download |
Journal of Fixed Income, Vol. 15, No. 2, pp. 76-86, 2006
Accepted Paper Series
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Wong, T. C.
Hong Kong Monetary Authority - Research Department
Lo, Chi-Fai
The Chinese University of Hong Kong
Huang, M. X.
Chinese University of Hong Kong - Department of Physics and Institute of Theoretical Physics
Posted:
30 Apr 07
317
(52,809)
6

11.  
Lo, Chi-Fai
The Chinese University of Hong Kong
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
27 Aug 07
300
(56,312)
3

12.  
Funding Liquidity Risk and Deviations from Interest-Rate Parity During the Financial Crisis of 2007-2009 | Show Abstract | Download |
International Journal of Finance and Economics, Vol. 16, pp. 307-323, 2011
Accepted Paper Series
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Genberg, Hans
University of Geneva - Graduate Institute of International Studies (HEI)
Chung, T. K.
Hong Kong Monetary Authority - Research Department
Posted:
31 Jul 09
Last Revised:
20 Sep 11
292
(58,110)
7

13.  
Effect of Asset Value Correlation on Credit-Linked Note Values | Show Abstract | Download |
International Journal of Theoretical and Applied Finance (2002), Vol.5, No. 5, 455-478
Accepted Paper Series
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, Chi-Fai
The Chinese University of Hong Kong
Posted:
08 May 07
280
(60,950)
1

14.  
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Chung, T. K.
Hong Kong Monetary Authority - Research Department
Lo, Chi-Fai
The Chinese University of Hong Kong
Posted:
15 Feb 10
Last Revised:
03 May 13
263
(65,379)
 

15.  
Valuing Double Barrier Options With Time-Dependent Parameters by Fourier Series Expansion | Show Abstract | Download |
IAENG International Journal of Applied Mathematics, Vol. 36, No. 1, 2007
Accepted Paper Series
Lo, Chi-Fai
The Chinese University of Hong Kong
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
27 Aug 07
252
(68,391)
1

16.  
Valuing Foreign Currency Options with a Mean-Reverting Process: A Study of Hong Kong Dollar | Show Abstract | Download |
International Journal of Finance & Economic, Vol. 13, pp. 118-134, 2008
Accepted Paper Series
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, Chi-Fai
The Chinese University of Hong Kong
Yeung, Vincent
Hong Kong Monetary Authority
Fung, Laurence
Hong Kong Monetary Authority
Posted:
21 Jan 08
Last Revised:
29 Mar 11
249
(69,243)
 

17.  
Valuation of Financial Derivatives with Time-Dependent Parameters: Lie-Algebraic Approach | Show Abstract | Download |
Quantitative Finance, Vol. 1, No. 1, pp. 73-78, 2001
Accepted Paper Series
Lo, Chi-Fai
The Chinese University of Hong Kong
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
07 May 07
240
(71,967)
7

18.  
Genberg, Hans
University of Geneva - Graduate Institute of International Studies (HEI)
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Wong, Alfred
Hong Kong Monetary Authority
Chung, T. K.
Hong Kong Monetary Authority - Research Department
Posted:
10 Feb 09
231
(74,911)
5

19.  
Pricing Barrier Options With Square Root Process | Show Abstract | Download |
International Journal of Theoretical and Applied Finance, Vol. 4, No. 5, pp. 805-818, 2001
Accepted Paper Series
Lo, Chi-Fai
The Chinese University of Hong Kong
Yuen, P. H.
affiliation not provided to SSRN
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
08 May 07
213
(81,567)
5

20.  
Does Using Time-Varying Target Leverage Ratios in Structural Credit Risk Models Improve Their Accuracy? | Show Abstract | Download |
Journal of Risk Model Validation, Volume 6/Number 3, page 27-49, 2012
Accepted Paper Series
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Wong, T. C.
Hong Kong Monetary Authority - Research Department
Lo, Chi-Fai
The Chinese University of Hong Kong
Huang, M. X.
Chinese University of Hong Kong - Department of Physics and Institute of Theoretical Physics
Posted:
07 Mar 08
Last Revised:
05 Oct 12
188
(92,279)
 

21.  
Wong, Jim
Hong Kong Monetary Authority
Fung, Laurence
Hong Kong Monetary Authority
Fong, Tom
Hong Kong Monetary Authority
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
23 Jan 09
185
(93,681)
 

22.  
Pricing Corporate Bonds With Dynamic Default Barriers | Show Abstract | Download |
Journal of Risk, Vol. 5. No. 3, pp. 17-37, 2003
Accepted Paper Series
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, Chi-Fai
The Chinese University of Hong Kong
Tsang, S. W.
affiliation not provided to SSRN
Posted:
30 Apr 07
180
(96,115)
15

23.  
Market Expectation of Appreciation of the Renminbi | Show Abstract | Download |
21st Australasian Finance and Banking Conference 2008 Paper
Working Paper Series
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, Chi-Fai
The Chinese University of Hong Kong
Chung, T. K.
Hong Kong Monetary Authority - Research Department
Posted:
20 Aug 08
Last Revised:
24 Dec 12
175
(98,676)
 

24.  
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, Chi-Fai
The Chinese University of Hong Kong
Huang, M. X.
Chinese University of Hong Kong - Department of Physics and Institute of Theoretical Physics
Lee, H. C.
Department of Physics
Posted:
28 Mar 08
173
(99,711)
1

25.  
Pricing Vulnerable Black-Scholes Options With Dynamic Default Barriers | Show Abstract | Download |
Journal of Derivatives, Vol. 10. No. 4, pp. 62-69, 2003
Accepted Paper Series
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, Chi-Fai
The Chinese University of Hong Kong
Lee, H. C.
Department of Physics
Posted:
09 May 07
161
(106,485)
2

26.  
Valuation Model of Defaultable Bond Values in Emerging Markets | Show Abstract | Download |
Asia-Pacific Financial Markets, Vol. 9, No. 1, pp. 45-60, 2002
Accepted Paper Series
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, Chi-Fai
The Chinese University of Hong Kong
Posted:
02 May 07
156
(109,515)
3

27.  
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Chung, T. K.
Hong Kong Monetary Authority - Research Department
Posted:
24 Oct 09
155
(110,191)
 

28.  
Valuing Time-Dependent CEV Barrier Options | Show Abstract | Download |
Journal of Applied Mathematics and Decision Sciences, pp. 1-17, 2009
Accepted Paper Series
Lo, Chi-Fai
The Chinese University of Hong Kong
Tang, Hoi-Man
The Chinese University of Hong Kong (CUHK)
Ku, K. C.
The Chinese University of Hong Kong (CUHK)
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
29 Mar 08
Last Revised:
10 Aug 09
150
(113,378)
 

29.  
Ratings Versus Market-Based Measures of Default Risk of East Asian Banks | Show Abstract | Download |
20th Australasian Finance & Banking Conference 2007 Paper
Working Paper Series
Wong, T. C.
Hong Kong Monetary Authority - Research Department
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, Chi-Fai
The Chinese University of Hong Kong
Posted:
21 Aug 07
148
(114,680)
 

30.  
Lie Algebraic Approach for Pricing Moving Barrier Options with Time-Dependent Parameters | Show Abstract | Download |
Journal of Mathematical Analysis and Applications, Vol. 323, No. 2, pp. 1455-1464, 2006
Accepted Paper Series
Lo, Chi-Fai
The Chinese University of Hong Kong
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
27 Jul 07
133
(125,599)
7

31.  
Pricing Vulnerable European Options With Stochastic Default Barriers | Show Abstract | Download |
IMA Journal of Management Mathematics, Vol. 18, No. 4, pp. 315-329, 2007
Accepted Paper Series
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, Chi-Fai
The Chinese University of Hong Kong
Ku, K. C.
The Chinese University of Hong Kong (CUHK)
Posted:
31 May 07
126
(131,223)
 

32.  
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, Chi-Fai
The Chinese University of Hong Kong
Yuen, P. H.
affiliation not provided to SSRN
Posted:
21 Jul 08
Last Revised:
29 Mar 11
122
(134,491)
4

33.  
Measuring Provisions for Collateralised Retail Lending | Show Abstract | Download |
Journal of Economics and Business, Vol. 58, pp. 343-361, 2006
Accepted Paper Series
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, Chi-Fai
The Chinese University of Hong Kong
Wong, T. C.
Hong Kong Monetary Authority - Research Department
Man, P. K.
Chinese University of Hong Kong - Department of Physics
Posted:
01 May 07
118
(137,934)
1

34.  
Are Corporates' Target Leverage Ratios Time-Dependent? | Show Abstract | Download |
International Review of Financial Analysis, Vol. 15, pp. 220-236, 2006
Accepted Paper Series
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, Chi-Fai
The Chinese University of Hong Kong
Huang, M. X.
Chinese University of Hong Kong - Department of Physics and Institute of Theoretical Physics
Posted:
25 Apr 07
113
(142,451)
7

35.  
Modeling Forward Credit Risk - An Options Approach | Show Abstract | Download |
Journal of Fixed Income, Vol. 9, No. 2, pp. 54-61, 1999
Accepted Paper Series
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
09 May 07
112
(143,436)
 

36.  
Pricing Multi-Asset Financial Derivatives With Time-Dependent Parameters - Lie Algebraic Approach | Show Abstract | Download |
International Journal of Mathematics and Mathematical Sciences, Vol. 32, No. 7, pp. 401-410, 2002
Accepted Paper Series
Lo, Chi-Fai
The Chinese University of Hong Kong
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
27 Aug 07
101
(154,440)
 

37.  
Using First-Passage-Time Density to Assess Realignment Risk of a Target Zone | Show Abstract | Download |
20th Australasian Finance & Banking Conference 2007 Paper
Working Paper Series
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, Chi-Fai
The Chinese University of Hong Kong
Chung, T. K.
Hong Kong Monetary Authority - Research Department
Posted:
14 Aug 07
98
(157,697)
 

38.  
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Fong, Tom
Hong Kong Monetary Authority
Posted:
01 Jan 12
Last Revised:
08 Apr 14
96
(159,890)
2

39.  
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, Chi-Fai
The Chinese University of Hong Kong
Lau, C.S.
The Chinese University of Hong Kong (CUHK)
Posted:
31 Mar 12
Last Revised:
02 Jul 13
81
(178,435)
 

40.  
A Simple Analytical Model for Dynamics of Time-Varying Target Leverage Ratios | Show Abstract | Download |
European Physical Journal B, Vol. 85, No 3, Article Number 102, 2012
Accepted Paper Series
Lo, Chi-Fai
The Chinese University of Hong Kong
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
03 Sep 09
Last Revised:
27 Mar 12
74
(188,313)
1

41.  
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lam, Lillie
Bank for International Settlements (BIS)
Posted:
29 Sep 08
73
(189,846)
 

42.  
Li, Ka-Fai
Hong Kong Monetary Authority
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Chung, T. K.
Hong Kong Monetary Authority - Research Department
Posted:
03 Nov 12
69
(196,026)
 

43.  
Is the Hong Kong Dollar Exchange Rate 'Bounded' in the Convertibility Zone? | Show Abstract | Download |
Hong Kong Monetary Authority Working Paper No. 13/2007
Working Paper Series
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Fong, Tom
Hong Kong Monetary Authority
Posted:
05 Oct 07
69
(196,026)
1

44.  
Wong, Jim
Hong Kong Monetary Authority
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Fung, Laurence
Hong Kong Monetary Authority
Posted:
23 Jan 09
62
(207,449)
 

45.  
Lo, Chi-Fai
The Chinese University of Hong Kong
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
07 Dec 12
Last Revised:
30 Jul 13
61
(209,177)
 

46.  
The Credibility of the Hong Kong’s Link from the Perspective of Modern Financial Theory | Show Abstract | Download |
Journal of Money, Credit, and Banking, Vol. 43, No. 1, pp. 185-206, 2011
Accepted Paper Series
Genberg, Hans
University of Geneva - Graduate Institute of International Studies (HEI)
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Posted:
10 Feb 09
Last Revised:
23 Jan 11
57
(216,342)
2

47.  
Explaining Share Price Disparity with Parameter Uncertainty: Evidence from Chinese A- and H-Shares | Show Abstract | Download |
Journal of Banking and Finance , Vol. 37, (2013), pp. 1073-1083
Accepted Paper Series
Chung, T. K.
Hong Kong Monetary Authority - Research Department
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Li, Ka-Fai
Hong Kong Monetary Authority
Posted:
26 Oct 11
Last Revised:
22 Apr 13
49
(232,103)
1

48.  
A Note on Estimating Realignment Probabilities - A First-Passage-Time Approach | Show Abstract | Download |
Journal of International Money and Finance, Vol. 28, pp. 804-812, 2009
Accepted Paper Series
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, Chi-Fai
The Chinese University of Hong Kong
Posted:
11 Jun 08
Last Revised:
18 May 09
43
(245,145)
1

49.  
Discriminatory Power and Predictions of Defaults of Structural Credit Risk Models | Show Abstract | Download |
Journal of Risk Model Validation, Vol. 3, No. 4, 2009/2010
Accepted Paper Series
Wong, T. C.
Hong Kong Monetary Authority - Research Department
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Lo, Chi-Fai
The Chinese University of Hong Kong
Posted:
25 Sep 09
Last Revised:
11 Mar 10
38
(256,776)
 

50.  
Lo, Chi-Fai
The Chinese University of Hong Kong
Hui, C. H.
Hong Kong Monetary Authority - Research Department
Chu, S.W.
The Chinese University of Hong Kong (CUHK)
Fong, Tom
Hong Kong Monetary Authority
Posted:
27 Nov 12
11
(352,335)
 


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