Haibin Zhu

Bank for International Settlements (BIS)

Hong Kong

Hong Kong

SCHOLARLY PAPERS

26

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21,086

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Top 1,029

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524

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Scholarly Papers (26)

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 5,986 (1,060)

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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
UBS AG, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)
Downloads 1,851 (8,033)

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

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 1,580 (10,211)

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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 74 (316,912)

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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)

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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 1,219 (15,700)

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

5.

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 1,100 (18,358)

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

6.

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 1,050 (19,650)

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commercial property prices, bank credit, time series analysis

7.

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 1,015 (20,690)

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8.

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 928 (23,581)

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

9.

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

BIS Paper No. 52
Number of pages: 402 Posted: 24 Jul 2010
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), Nordea Group, Bank for International Settlements (BIS), University of Geneva - Graduate Institute of International Studies (HEI), Bank for International Settlements (BIS) - Monetary and Economic Department, Columbia Business School - Finance and Economics, 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, Federal Reserve Board - Division of Monetary Affairs, 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 882 (25,433)

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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 753 (31,210)

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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)

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

11.

Determinants of House Prices in Nine Asia-Pacific Economies

BIS Working Paper No. 263
Number of pages: 51 Posted: 27 Jan 2009
Bank for International Settlements (BIS), Bank of Thailand, affiliation not provided to SSRN and Bank for International Settlements (BIS)
Downloads 718 (33,789)

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

12.

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 579 (45,064)

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

13.

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 528 (50,677)

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

14.

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 464 (59,654)

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

15.

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

BIS Quarterly Review March 2008
Number of pages: 15 Posted: 12 Jul 2012
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 426 (66,168)

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CDOs, ratings, value-at-risk

16.

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 354 (82,272)

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

17.

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 (BIS), Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 287 (103,786)

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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 126 (221,459)

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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 113 (240,433)

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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 239 (125,543)

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bank runs, demand deposit, perfect Bayesian equilibrium

20.

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 215 (139,214)

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

21.

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 211 (141,802)

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

22.

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 120 (228,921)

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23.

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 116 (234,745)

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

24.

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 116 (234,745)

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Borrowing constraint, banking crises, currency crises

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 36 (432,545)

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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)

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