Haibin Zhu

Bank for International Settlements (BIS)

Hong Kong

Hong Kong

  • Bank for International Settlements (BIS)

    • Email
    • Tel: 852 2878 7145
    • Fax: 852 2878 7123
SCHOLARLY PAPERS

26

DOWNLOADS
Rank 2,245

SSRN RANKINGS

Top 2,245

in Total Papers Downloads

27,800

TOTAL CITATIONS
Rank 1,862

SSRN RANKINGS

Top 1,862

in Total Papers Citations

836

Scholarly Papers (26)

Actions:
Email selected abstracts
1.

What Drives Housing Price Dynamics: Cross-Country Evidence

BIS Quarterly Review, March 2004
Number of pages: 14 Posted: 04 May 2012 Last Revised: 29 Sep 2013
Kostas Tsatsaronis and Haibin Zhu
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 9,309 (1,295)
Citation 9

Abstract:

Loading...

2.

Explaining Credit Default Swap Spreads With the Equity Volatility and Jump Risks of Individual Firms

FEDS Discussion Paper No. 2005-63, Review of Financial Studies, Forthcoming, BIS Working Paper No. 181
Number of pages: 43 Posted: 20 Sep 2007 Last Revised: 18 Oct 2013
Benjamin Yi-Bin Zhang, Hao Zhou and Haibin Zhu
UBS AG, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)
Downloads 1,946 (17,133)
Citation 62

Abstract:

Loading...

Credit Default Swap, Credit Risk Premium, Stochastic Volatility, Jumps, Structural Model, Nonlinear Effect, High-Frequency Data

3.

A Framework for Assessing the Systemic Risk of Major Financial Institutions

Downloads 1,821 (19,055)
Citation 54

A Framework for Assessing the Systemic Risk of Major Financial Institutions

Journal of Banking and Finance, Vol. 33, No. 11, pp. 2036–2049, November 2009, BIS Working Paper No. 281, PBCSF-NIFR Research Paper No. 08-01
Number of pages: 44 Posted: 01 Feb 2009 Last Revised: 31 Aug 2016
Xin Huang, Hao Zhou and Haibin Zhu
Board of Governors of the Federal Reserve System, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)
Downloads 1,684 (21,136)
Citation 6

Abstract:

Loading...

Systemic risk, stress testing, portfolio credit risk, credit default swap, high-frequency data

A Framework for Assessing the Systemic Risk of Major Financial Institutions

BIS Working Paper No. 281
Number of pages: 44 Posted: 10 Aug 2009
Xin Huang, Hao Zhou and Haibin Zhu
Board of Governors of the Federal Reserve System, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)
Downloads 137 (417,449)
Citation 48

Abstract:

Loading...

Systemic risk, stress testing, portfolio credit risk, credit default swap, high-frequency data

A Framework for Assessing the Systemic Risk of Major Financial Institutions

CAREFIN Research Paper No. 11/08
Posted: 22 Mar 2009 Last Revised: 17 Jan 2016
Xin Huang, Hao Zhou and Haibin Zhu
Board of Governors of the Federal Reserve System, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)

Abstract:

Loading...

Stress testing, systemic risk, insurance premium, default probability, credit default swap spread, high-frequency data, asset return correlation

4.

Capital Regulation, Risk-Taking and Monetary Policy: A Missing Link in the Transmission Mechanism?

BIS Working Paper No. 268
Number of pages: 45 Posted: 27 Jan 2009
Claudio E. V. Borio and Haibin Zhu
Bank for International Settlements (BIS) - Research and Policy Analysis and Bank for International Settlements (BIS)
Downloads 1,449 (27,020)
Citation 353

Abstract:

Loading...

risk-taking channel, transmission mechanism, capital regulation, procyclicality

5.

The Structure of Housing Finance Markets and House Prices in Asia

BIS Quarterly Review, December 2006
Number of pages: 15 Posted: 14 Jun 2012
Haibin Zhu
Bank for International Settlements (BIS)
Downloads 1,432 (27,456)
Citation 3

Abstract:

Loading...

6.

The International Financial Crisis and Policy Challenges in Asia and the Pacific

BIS Paper No. 52
Number of pages: 402 Posted: 24 Jul 2010
Jaime Caruana, Andrew J. Filardo, Jason George, Anella Munro, Mico Loretan, Guonan Ma, Ilhyock Shim, Philip D. Wooldridge, James Yetman, Haibin Zhu, Jacob Gyntelberg, Eric Ho Pan Chan, Hans Genberg, Eli M. Remolona, Suresh M. Sundaresan, Susan Black, Joseph Yam, Charles M. Engel, Michael B. Devereux, Charles Goodhart, Don H. Kim, Eloisa T. Glindro, Jessica Szeto, Masaaki Shirakawa, Tarisa Watanagase, Zeti Akhtar Aziz and Amando Tetangco Jr
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS), Reserve Bank of New Zealand, Swiss National Bank, Bruegel, Bank for International Settlements (BIS), Bank for International Settlements (BIS), Bank for International Settlements (BIS), Bank for International Settlements (BIS), University of Copenhagen - Department of Economics, Bank for International Settlements (BIS), University of Geneva - Graduate Institute of International Studies (HEI), Bank for International Settlements (BIS) - Monetary and Economic Department, Columbia University - Columbia Business School, Finance, Herbert Smith, affiliation not provided to SSRN, University of Wisconsin - Madison - Department of Economics, University of British Columbia (UBC) - Department of Economics, London School of Economics & Political Science (LSE) - Financial Markets Group, Board of Governors of the Federal Reserve System, Bank for International Settlements (BIS), affiliation not provided to SSRN, Bank of Japan - Institute of Monetary and Economic Studies, Bank of Thailand, Central Bank of Malaysia and Government of the Republic of the Philippines - Central Bank of the Philippines-Bangko Sentral ng Pilipinas
Downloads 1,353 (29,879)
Citation 1

Abstract:

Loading...

7.

An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market

EFMA 2004 Basel Meetings Paper, BIS Working Paper No. 160
Number of pages: 37 Posted: 20 Sep 2007
Haibin Zhu
Bank for International Settlements (BIS)
Downloads 1,196 (35,655)
Citation 104

Abstract:

Loading...

Credit Derivatives, Credit Risk, Time Series Analysis; price discovery

8.

Bank Lending and Commercial Property Cycles: Some Cross-Country Evidence

BIS Working Paper No. 150
Number of pages: 45 Posted: 20 Sep 2007
E. Philip Davis and Haibin Zhu
National Institute of Economic and Social Research (NIESR) and Bank for International Settlements (BIS)
Downloads 1,162 (37,196)
Citation 45

Abstract:

Loading...

commercial property prices, bank credit, time series analysis

9.

Systemic Risk Contributions

Number of pages: 44 Posted: 29 Jul 2010 Last Revised: 29 Oct 2011
Xin Huang, Hao Zhou and Haibin Zhu
Board of Governors of the Federal Reserve System, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)
Downloads 1,073 (41,741)
Citation 26

Abstract:

Loading...

Distress Insurance Premium, Systemic Risk, Macroprudential Regulation, Large Complex Financial Institution, Too-Big-to-Fail, Too-Connected-to-Fail.

10.

Determinants of House Prices in Nine Asia-Pacific Economies

BIS Working Paper No. 263
Number of pages: 51 Posted: 27 Jan 2009
Eloisa T. Glindro, Tientip Subhanij, Jessica Szeto and Haibin Zhu
Bank for International Settlements (BIS), Bank of Thailand, affiliation not provided to SSRN and Bank for International Settlements (BIS)
Downloads 946 (49,899)
Citation 48

Abstract:

Loading...

Asia-Pacific economies, house price dynamics, housing bubble, house price overvaluation, mean reversion, persistence parameter

11.

The Pricing of Correlated Default Risk: Evidence from the Credit Derivatives Market

Downloads 849 (57,851)
Citation 6

The Pricing of Correlated Default Risk: Evidence from the Credit Derivatives Market

Number of pages: 36 Posted: 02 Mar 2007
Nikola A. Tarashev and Haibin Zhu
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 849 (57,006)
Citation 6

Abstract:

Loading...

Portfolio credit risk, CDS index, Tranche spread, Correlation risk premium, Physical correlation, Risk-neutral correlation, Copula

The Pricing of Correlated Default Risk: Evidence from the Credit Derivatives Market

Bundesbank Series 2 Discussion Paper No. 2008,09, https://doi.org/10.3905/jfi.2008.708840
Posted: 22 May 2019
Nikola A. Tarashev and Haibin Zhu
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)

Abstract:

Loading...

Portfolio credit risk, Correlation risk premium, CDS index, Tranche spread, Copula

12.

Loan Loss Provisioning Practices of Asian Banks

BIS Working Paper No. 375
Number of pages: 31 Posted: 11 Apr 2012 Last Revised: 14 May 2014
Frank Packer and Haibin Zhu
Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 806 (62,225)
Citation 24

Abstract:

Loading...

loan loss provisioning, financial system procyclicality, international accounting standards, earnings smoothing, macroprudential policy

13.

The Pricing of Portfolio Credit Risk

BIS Working Paper No. 214
Number of pages: 39 Posted: 20 Sep 2007
Nikola A. Tarashev and Haibin Zhu
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 661 (80,236)
Citation 8

Abstract:

Loading...

CDS index tranche, Joint distribution of asset returns, Correlation risk premium, Copula

14.

Assessing the Systemic Risk of a Heterogeneous Portfolio of Banks during the Recent Financial Crisis

22nd Australasian Finance and Banking Conference 2009, Finlawmetrics 2010 Conference Paper
Number of pages: 45 Posted: 23 Aug 2009 Last Revised: 29 Oct 2011
Xin Huang, Hao Zhou and Haibin Zhu
Board of Governors of the Federal Reserve System, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)
Downloads 597 (91,306)
Citation 20

Abstract:

Loading...

Systemic risk, Macroprudential regulation, Portfolio distress loss, Credit default swap, Dynamic conditional correlation

15.

Contractual Terms and CDS Pricing

BIS Quarterly Review, 2005
Number of pages: 12 Posted: 21 May 2012 Last Revised: 29 Sep 2013
Bank for International Settlements, Frank Packer and Haibin Zhu
Bank for International Settlements (BIS), Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 521 (108,329)
Citation 7

Abstract:

Loading...

16.

Credit Fundamentals, Ratings and Value-at-Risk: CDOs versus Corporate Exposures

BIS Quarterly Review March 2008
Number of pages: 15 Posted: 12 Jul 2012
Ingo Fender, Nikola A. Tarashev and Haibin Zhu
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 495 (115,235)
Citation 2

Abstract:

Loading...

CDOs, ratings, value-at-risk

17.

Capital Regulation and Banks' Financial Decisions

BIS Working Paper No. 232
Number of pages: 46 Posted: 25 Sep 2007
Haibin Zhu
Bank for International Settlements (BIS)
Downloads 472 (121,968)
Citation 28

Abstract:

Loading...

Capital Requirement, Economic Capital, Regulatory Capital, Pro-cyclicality Effect, Dynamic Programming, Prudential Regulation

18.

The Impact of CDS Trading on the Bond Market: Evidence from Asia

Downloads 311 (194,730)
Citation 13

The Impact of CDS Trading on the Bond Market: Evidence from Asia

Number of pages: 42 Posted: 04 Aug 2010 Last Revised: 17 Nov 2010
Ilhyock Shim and Haibin Zhu
Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 157 (373,164)
Citation 5

Abstract:

Loading...

Credit default swaps, bond spreads, bond liquidity, CDS index, Asia

The Impact of CDS Trading on the Bond Market: Evidence from Asia

BIS Working Paper No. 332
Number of pages: 44 Posted: 03 Dec 2010
Ilhyock Shim and Haibin Zhu
Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 154 (379,236)
Citation 8

Abstract:

Loading...

credit default swaps, bond spreads, bond liquidity, CDS index, Asia

19.

Bank Runs Without Self-Fulfilling Prophecies

BIS Working Paper No. 106
Number of pages: 32 Posted: 13 Dec 2005
Haibin Zhu
Bank for International Settlements (BIS)
Downloads 304 (199,572)
Citation 6

Abstract:

Loading...

bank runs, demand deposit, perfect Bayesian equilibrium

20.

Bank Runs, Welfare and Policy Implications

EFMA 2002 London Meeting, Forthcoming, BIS Working Paper No. 107
Number of pages: 35 Posted: 13 Dec 2005
Haibin Zhu
Bank for International Settlements (BIS)
Downloads 262 (232,432)
Citation 6

Abstract:

Loading...

Bank runs, Financial crisis, Bank regulation, Suspension of convertibility, Deposit insurance, Reserve requirement, Capital requirement

21.

Modelling and Calibration Errors in Measures of Portfolio Credit Risk

BIS Working Paper No. 230
Number of pages: 42 Posted: 25 Sep 2007
Nikola A. Tarashev and Haibin Zhu
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 239 (254,725)

Abstract:

Loading...

ated defaults, value at risk, multiple common factors, granularity, estimation error, tail dependence, bank capital

22.

Modeling and Calibration Errors in Measures of Portfolio Credit Risk

Number of pages: 40 Posted: 20 Jul 2007
Nikola A. Tarashev and Haibin Zhu
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 182 (328,217)
Citation 11

Abstract:

Loading...

Correlated defaults, Value at risk, Multiple common factors, Granularity, Estimation error, Tail dependence, Bank capital

23.

Credit Constraints, Financial Liberalisation and Twin Crises

BIS Working Paper No. 124
Number of pages: 43 Posted: 13 Dec 2005
Haibin Zhu
Bank for International Settlements (BIS)
Downloads 152 (383,135)

Abstract:

Loading...

Borrowing constraint, banking crises, currency crises

24.

Measuring Portfolio Credit Risk: Modeling Versus Calibration Errors

BIS Quarterly Review, March 2007
Number of pages: 14 Posted: 23 Jun 2012
Nikola A. Tarashev and Haibin Zhu
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 148 (391,626)

Abstract:

Loading...

25.

Measuring Portfolio Credit Risk: Modelling Versus Calibration Errors

BIS Quarterly Review, March 2007
Number of pages: 14 Posted: 23 Jun 2012 Last Revised: 29 Sep 2013
Nikola A. Tarashev and Haibin Zhu
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 114 (479,380)

Abstract:

Loading...

26.

Commercial Property Prices and Bank Performance

BIS Working Paper No. 175
Posted: 20 Sep 2007
Haibin Zhu and E. Philip Davis
Bank for International Settlements (BIS) and National Institute of Economic and Social Research (NIESR)

Abstract:

Loading...

Commercial property prices, bank performance, panel estimation, financial accelerator