Hong Kong
China
Hong Kong Monetary Authority - Research Department
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barrier options, binary options, double-barrier options
Liquidity risk, stress testing, default risk, banks
European sovereign debt crisis, currency options, credit default swaps, currency crash
barrier options, window options, time-dependent parameters
Options, constant elasticity of variance, Lie Algebra
barrier options, moving boundary, time-dependent parameters
First hitting time, mean-reverting lognormal process, barrier options, method of images
barrier options, currency options, mean-reverting process
Basel II, Default probabilities, Benchmarking models
credit risk, risky bonds, contingent claim analysis
Ornstein-Uhlenbeck process, Fokker-Planck equation, First passage time density, Method of images, Moving boundary
sub-prime crisis, funding liquidity, covered interest parity, FX swaps
Double-barrier Options, Fourier Series, Moving Boundaries, Time-dependent Parameters
Sub-Prime Crisis, Funding Liquidity Shocks, LIBOR-OIS Spread, First-Passage-Time Probability
Lie algebra, option pricing, corporate bond pricing
FX swaps, covered interest parity, counterparty risk
Target foreign exchange rates, currency options, mean-reverting process
Bond pricing model, Merton model, Default barriers
Credit Risk Models, Credit Ratings, Default Probability
Barrier options, constant elasticity of variance
Interest rate risk, Residential mortgage rate, Banking stability
China, RMB, exchange rate policy, central parity rate, onshore and offshore rates
Barrier options, Black and Scholes model, partial differential equations
Option pricing, Credit risk, Derivatives
risky bonds, credit risk, emerging markets, stress tests
Finance, Corporate bond pricing, Stochastic interest rate
Asian financial crisis, credit rating agencies, credit risk models
covered interest rate parity, swap spreads, Treasuries, term-structure models; safe assets
CEV option, similarity transformation, Bessel equation, moving barrier
Sovereign risk, Bond pricing model, Exchange rates, Emerging markets
Options, Constant elasticity of variance, Partial differential equation, Lie algebra
option pricing, credit risk, derivatives
credit default swaps, European debt crisis, option-implied correlation
credit risk, retail lending, Basel II
Target zone; quasi-bounded process; crude oil, OPEC; oil demand shocks
Option pricing, Lie algebraic approach, Time-dependent parameters
Basel II, Forward Credit Risk, Maturity Mismatches
Target leverage ratios, Fokker-Planck equation, Mean-reverting dynamics
Hong Kong dollar interest rates, swap spreads, vector error-correction model, sub-prime crisis
Linked Exchange Rate system, target zone, mean reversion, bounded process
Bitcoin, money demand, currency crash, flexible-price monetary model, commodities
Hong Kong dollar, Linked Exchange Rate system, target zone
Authorized Institutions, Best Lending Rate, Composite Interest Rate, Banking Stability
China, RMB, exchange rate policy, central parity rate, on-shore and off-shore rates
Constrained stochastic motion, quasi-bounded process, time-varying boundaries, crash risk
Target zone, yield curve control, quasi-bounded process
Exchange rate dynamics, target zones, interventions, stochastic processes
realignment risk, mean-reversion, first-passage-time probability
Cryptocurrency, stablecoins, Tether, target zone, quasi-bounded process
bond pricing model, emerging markets, exchange rates, sovereign risk
China’s exchange rate policy, renminbi, target zones, stochastics
financial risk, market distress; predatory trading, short squeeze, constrained stochastic motion, quasi-bounded process, COVID-19
CO2 emissions, carbon intensity of energy, financial development, trade-off theory
logarithmic potential; quasibounded process; stochastic heat engines; unemployment rates
Exchange rate dynamics, currency crashes, carry trades, risk reversals, interventions, global financial crisis, Covid-19
Exchange rate dynamics, Rayleigh process, quasi-bounded process, interventions
renminbi exchange rate, first-passage-time distributions, currency options