Yang Chang

School of Risk and Actuarial Studies, ARC Center of Excellence in Population Ageing Research (CEPAR)

Research Fellow

Australian School of Business Building

University of New South Wales

Sydney, New South Wales NSW 2052

Australia

Quantitative Finance Research Centre

Visiting Scholar

University of Technology, Sydney

Sydney, New South Wales 2000

Australia

SCHOLARLY PAPERS

3

DOWNLOADS

473

CITATIONS

0

Scholarly Papers (3)

1.

Carry Trade and Liquidity Risk: Evidence from forward and Cross-Currency Swap Markets

Number of pages: 35 Posted: 20 Sep 2012
Yang Chang and Erik Schlogl
School of Risk and Actuarial Studies, ARC Center of Excellence in Population Ageing Research (CEPAR) and University of Technology Sydney (UTS), UTS Business School, Finance Discipline Group
Downloads 174 (107,686)

Abstract:

uncovered interest rate parity, carry trade, liquidity risk, no-arbitrage bound, volatility

2.

A Consistent Framework for Modelling Basis Spreads in Tenor Swaps

Number of pages: 54 Posted: 08 May 2014 Last Revised: 16 Jan 2015
Yang Chang and Erik Schlogl
School of Risk and Actuarial Studies, ARC Center of Excellence in Population Ageing Research (CEPAR) and University of Technology Sydney (UTS), UTS Business School, Finance Discipline Group
Downloads 123 (133,915)

Abstract:

tenor swap, basis, frequency basis, liquidity risk, swap market

3.

A Value Based Cohort Index for Longevity Risk Management

UNSW Business School Research Paper No. 2015ACTL02
Number of pages: 22 Posted: 26 Feb 2015
Yang Chang and Michael Sherris
School of Risk and Actuarial Studies, ARC Center of Excellence in Population Ageing Research (CEPAR) and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 36 (300,595)

Abstract:

Cohort mortality, Value index, Mortality risk, Interest rate risk, Hedge efficiency