Cho-Hoi Hui

Hong Kong Monetary Authority - Research Department

Hong Kong

China

SCHOLARLY PAPERS

65

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CITATIONS
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83

Scholarly Papers (65)

1.

One-Touch Double Barrier Binary Option Values

Applied Financial Economics, Vol. 6, pp. 343-346, 1996
Number of pages: 4 Posted: 08 May 2007
Cho-Hoi Hui
Hong Kong Monetary Authority - Research Department
Downloads 1,329 (13,841)
Citation 15

Abstract:

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barrier options, binary options, double-barrier options

2.

Crash Risk of the Euro in the Sovereign Debt Crisis of 2009-2010

Journal of Banking and Finance, Vol. 35, pp. 2945–2955, 2011
Number of pages: 12 Posted: 28 Jun 2010 Last Revised: 05 Jul 2012
Cho-Hoi Hui and Tsz-Kin Chung
Hong Kong Monetary Authority - Research Department and IHS Markit
Downloads 947 (23,073)
Citation 19

Abstract:

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European sovereign debt crisis, currency options, credit default swaps, currency crash

3.

A Liquidity Risk Stress-Testing Framework with Interaction between Market and Credit Risks

Number of pages: 33 Posted: 01 Apr 2009 Last Revised: 05 May 2009
T. C. Wong and Cho-Hoi Hui
Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority - Research Department
Downloads 815 (28,611)
Citation 7

Abstract:

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Liquidity risk, stress testing, default risk, banks

4.

Constant Elasticity of Variance Option Pricing Model With Time-Dependent Parameters

International Journal of Theoretical and Applied Finance, Vol. 3, No. 4, pp. 661-674, 2000
Number of pages: 14 Posted: 08 May 2007
Chi-Fai Lo, P. H. Yuen and Cho-Hoi Hui
The Chinese University of Hong Kong, affiliation not provided to SSRN and Hong Kong Monetary Authority - Research Department
Downloads 674 (37,109)
Citation 13

Abstract:

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Options, constant elasticity of variance, Lie Algebra

5.

Time Dependent Barrier Option Values

Journal of Futures Markets, Vol. 17, No. 6, pp. 667-688, 1997
Number of pages: 22 Posted: 08 May 2007
Cho-Hoi Hui
Hong Kong Monetary Authority - Research Department
Downloads 608 (42,501)
Citation 9

Abstract:

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barrier options, window options, time-dependent parameters

6.

A Simple Approach for Pricing Barrier Options with Time-Dependent Parameters

Quantitative Finance, Vol. 3, No. 2, pp. 98-107, 2003
Number of pages: 10 Posted: 07 May 2007
Chi-Fai Lo, H. C. Lee and Cho-Hoi Hui
The Chinese University of Hong Kong, Department of Physics and Hong Kong Monetary Authority - Research Department
Downloads 537 (49,898)
Citation 4

Abstract:

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barrier options, moving boundary, time-dependent parameters

7.

Double Barrier Hitting Time Distribution of a Mean-Reverting Lognormal Process and its Application to Pricing Exotic Options

Number of pages: 6 Posted: 21 Jan 2008
Chi-Fai Lo, Tsz-Kin Chung and Cho-Hoi Hui
The Chinese University of Hong Kong, IHS Markit and Hong Kong Monetary Authority - Research Department
Downloads 438 (64,386)

Abstract:

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First hitting time, mean-reverting lognormal process, barrier options, method of images

8.

Currency Barrier Option Pricing With Mean Reversion

Journal of Futures Markets, Vol. 26, No. 10, pp. 939-958, January 2006
Number of pages: 20 Posted: 26 Apr 2007
Cho-Hoi Hui and Chi-Fai Lo
Hong Kong Monetary Authority - Research Department and The Chinese University of Hong Kong
Downloads 413 (69,116)
Citation 5

Abstract:

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barrier options, currency options, mean-reverting process

9.

Benchmarking Model of Default Probabilities of Listed Companies

Journal of Fixed Income, Vol. 15, No. 2, pp. 76-86, 2006
Number of pages: 11 Posted: 30 Apr 2007
Cho-Hoi Hui, T. C. Wong, Chi-Fai Lo and M. X. Huang
Hong Kong Monetary Authority - Research Department, Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and Chinese University of Hong Kong - Department of Physics and Institute of Theoretical Physics
Downloads 376 (77,143)
Citation 7

Abstract:

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Basel II, Default probabilities, Benchmarking models

10.

Funding Liquidity Risk and Deviations from Interest-Rate Parity During the Financial Crisis of 2007-2009

International Journal of Finance and Economics, Vol. 16, pp. 307-323, 2011
Number of pages: 17 Posted: 31 Jul 2009 Last Revised: 20 Sep 2011
Cho-Hoi Hui, Hans Genberg and Tsz-Kin Chung
Hong Kong Monetary Authority - Research Department, University of Geneva - Graduate Institute of International Studies (HEI) and IHS Markit
Downloads 351 (83,590)
Citation 19

Abstract:

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sub-prime crisis, funding liquidity, covered interest parity, FX swaps

11.

Computing the First Passage Time Density of a Time-Dependent Urnstein-Uhlenbeck Process to a Moving Boundary

Applied Mathematics Letters, Vol. 19, pp. 1399-1405, 2006
Number of pages: 7 Posted: 27 Aug 2007
Chi-Fai Lo and Cho-Hoi Hui
The Chinese University of Hong Kong and Hong Kong Monetary Authority - Research Department
Downloads 336 (87,886)
Citation 3

Abstract:

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Ornstein-Uhlenbeck process, Fokker-Planck equation, First passage time density, Method of images, Moving boundary

12.

Effect of Asset Value Correlation on Credit-Linked Note Values

International Journal of Theoretical and Applied Finance (2002), Vol.5, No. 5, 455-478
Number of pages: 24 Posted: 08 May 2007
Cho-Hoi Hui and Chi-Fai Lo
Hong Kong Monetary Authority - Research Department and The Chinese University of Hong Kong
Downloads 334 (88,439)
Citation 1

Abstract:

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credit risk, risky bonds, contingent claim analysis

13.

Valuing Double Barrier Options With Time-Dependent Parameters by Fourier Series Expansion

IAENG International Journal of Applied Mathematics, Vol. 36, No. 1, 2007
Number of pages: 5 Posted: 27 Aug 2007
Chi-Fai Lo and Cho-Hoi Hui
The Chinese University of Hong Kong and Hong Kong Monetary Authority - Research Department
Downloads 296 (100,965)
Citation 1

Abstract:

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Double-barrier Options, Fourier Series, Moving Boundaries, Time-dependent Parameters

14.

Using Interest Rate Derivative Prices to Estimate LIBOR-OIS Spread Dynamics and Systemic Funding Liquidity Shock Probabilities

Asia-Pacific Financial Markets, Vol 20(2): 131–146, (2013)
Number of pages: 18 Posted: 15 Feb 2010 Last Revised: 03 May 2013
Cho-Hoi Hui, Tsz-Kin Chung and Chi-Fai Lo
Hong Kong Monetary Authority - Research Department, IHS Markit and The Chinese University of Hong Kong
Downloads 291 (102,842)

Abstract:

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Sub-Prime Crisis, Funding Liquidity Shocks, LIBOR-OIS Spread, First-Passage-Time Probability

15.

The Link between FX Swaps and Currency Strength during the Credit Crisis of 2007-2008

Number of pages: 11 Posted: 10 Feb 2009
University of Geneva - Graduate Institute of International Studies (HEI), Hong Kong Monetary Authority - Research Department, Hong Kong Monetary Authority and IHS Markit
Downloads 287 (104,419)
Citation 14

Abstract:

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FX swaps, covered interest parity, counterparty risk

16.

Valuing Foreign Currency Options with a Mean-Reverting Process: A Study of Hong Kong Dollar

International Journal of Finance & Economic, Vol. 13, pp. 118-134, 2008
Number of pages: 17 Posted: 21 Jan 2008 Last Revised: 29 Mar 2011
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong, Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads 281 (106,751)
Citation 1

Abstract:

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Target foreign exchange rates, currency options, mean-reverting process

17.

Valuation of Financial Derivatives with Time-Dependent Parameters: Lie-Algebraic Approach

Quantitative Finance, Vol. 1, No. 1, pp. 73-78, 2001
Number of pages: 6 Posted: 07 May 2007
Chi-Fai Lo and Cho-Hoi Hui
The Chinese University of Hong Kong and Hong Kong Monetary Authority - Research Department
Downloads 281 (106,751)
Citation 7

Abstract:

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Lie algebra, option pricing, corporate bond pricing

18.

Pricing Corporate Bonds With Dynamic Default Barriers

Journal of Risk, Vol. 5. No. 3, pp. 17-37, 2003
Number of pages: 25 Posted: 30 Apr 2007
Cho-Hoi Hui, Chi-Fai Lo and S. W. Tsang
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and affiliation not provided to SSRN
Downloads 233 (129,592)
Citation 16

Abstract:

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Bond pricing model, Merton model, Default barriers

19.

Pricing Barrier Options With Square Root Process

International Journal of Theoretical and Applied Finance, Vol. 4, No. 5, pp. 805-818, 2001
Number of pages: 14 Posted: 08 May 2007
Chi-Fai Lo, P. H. Yuen and Cho-Hoi Hui
The Chinese University of Hong Kong, affiliation not provided to SSRN and Hong Kong Monetary Authority - Research Department
Downloads 228 (132,325)
Citation 5

Abstract:

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Barrier options, constant elasticity of variance

20.

Interest Rate Risk in the Pricing of Banks' Mortgage Lending

Number of pages: 27 Posted: 23 Jan 2009
Jim Wong, Laurence Fung, Tom Fong and Cho-Hoi Hui
Hong Kong Monetary Authority, Hong Kong Monetary Authority, Hong Kong Monetary Authority and Hong Kong Monetary Authority - Research Department
Downloads 220 (136,998)

Abstract:

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Interest rate risk, Residential mortgage rate, Banking stability

21.

Predictions of Default Probabilities by Models with Dynamic Leverage Ratios

Number of pages: 30 Posted: 28 Mar 2008
Cho-Hoi Hui, Chi-Fai Lo, M. X. Huang and H. C. Lee
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong, Chinese University of Hong Kong - Department of Physics and Institute of Theoretical Physics and Department of Physics
Downloads 214 (140,683)
Citation 2

Abstract:

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Credit Risk Models, Credit Ratings, Default Probability

22.

Does Using Time-Varying Target Leverage Ratios in Structural Credit Risk Models Improve Their Accuracy?

Journal of Risk Model Validation, Volume 6/Number 3, page 27-49, 2012
Number of pages: 24 Posted: 07 Mar 2008 Last Revised: 05 Oct 2012
Cho-Hoi Hui, T. C. Wong, Chi-Fai Lo and M. X. Huang
Hong Kong Monetary Authority - Research Department, Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and Chinese University of Hong Kong - Department of Physics and Institute of Theoretical Physics
Downloads 211 (142,576)
Citation 5

Abstract:

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Leverage, Default probabilities, Credit risk

23.

Pricing Vulnerable Black-Scholes Options With Dynamic Default Barriers

Journal of Derivatives, Vol. 10. No. 4, pp. 62-69, 2003
Number of pages: 8 Posted: 09 May 2007
Cho-Hoi Hui, Chi-Fai Lo and H. C. Lee
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and Department of Physics
Downloads 192 (155,705)

Abstract:

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Option pricing, Credit risk, Derivatives

24.

Valuation Model of Defaultable Bond Values in Emerging Markets

Asia-Pacific Financial Markets, Vol. 9, No. 1, pp. 45-60, 2002
Number of pages: 16 Posted: 02 May 2007
Cho-Hoi Hui and Chi-Fai Lo
Hong Kong Monetary Authority - Research Department and The Chinese University of Hong Kong
Downloads 176 (168,374)
Citation 6

Abstract:

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risky bonds, credit risk, emerging markets, stress tests

25.

Ratings Versus Market-Based Measures of Default Risk of East Asian Banks

20th Australasian Finance & Banking Conference 2007 Paper
Number of pages: 39 Posted: 21 Aug 2007
T. C. Wong, Cho-Hoi Hui and Chi-Fai Lo
Hong Kong Monetary Authority - Research Department, Hong Kong Monetary Authority - Research Department and The Chinese University of Hong Kong
Downloads 173 (170,968)
Citation 1

Abstract:

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Asian financial crisis, credit rating agencies, credit risk models

26.

Valuing Time-Dependent CEV Barrier Options

Journal of Applied Mathematics and Decision Sciences, pp. 1-17, 2009
Number of pages: 20 Posted: 29 Mar 2008 Last Revised: 10 Aug 2009
Chi-Fai Lo, Hoi-Man Tang, K. C. Ku and Cho-Hoi Hui
The Chinese University of Hong Kong, The Chinese University of Hong Kong (CUHK), The Chinese University of Hong Kong (CUHK) and Hong Kong Monetary Authority - Research Department
Downloads 169 (174,549)

Abstract:

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CEV option, similarity transformation, Bessel equation, moving barrier

The Renminbi Central Parity: An Empirical Investigation

Pacific Economic Review, Volume 23, Issue 2, Pages 164-183, May 2018
Number of pages: 33 Posted: 20 Jun 2016 Last Revised: 22 Jul 2018
Yin-Wong Cheung, Cho-Hoi Hui and Andrew Tsang
City University of Hong Kong - Department of Economics & Finance, Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
Downloads 135 (210,825)
Citation 5

Abstract:

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China, RMB, exchange rate policy, central parity rate, on-shore and off-shore rates

The Renminbi Central Parity: An Empirical Investigation

BOFIT Discussion Paper No. 7/2017
Number of pages: 33 Posted: 24 May 2017
Yin-Wong Cheung, Cho-Hoi Hui and Andrew Tsang
City University of Hong Kong - Department of Economics & Finance, Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
Downloads 31 (468,297)

Abstract:

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China, RMB, exchange rate policy, central parity rate, onshore and offshore rates

28.

Comment on 'Pricing Double Barrier Options Using Laplace Transforms' by Antoon Pelsser

Finance Stochastics, Vol. 4, pp. 105-107, 2000
Number of pages: 6 Posted: 21 Jul 2008 Last Revised: 29 Mar 2011
Cho-Hoi Hui, Chi-Fai Lo and P. H. Yuen
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and affiliation not provided to SSRN
Downloads 164 (179,085)
Citation 7

Abstract:

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Barrier options, Black and Scholes model, partial differential equations

29.

Lie Algebraic Approach for Pricing Moving Barrier Options with Time-Dependent Parameters

Journal of Mathematical Analysis and Applications, Vol. 323, No. 2, pp. 1455-1464, 2006
Number of pages: 10 Posted: 27 Jul 2007
Chi-Fai Lo and Cho-Hoi Hui
The Chinese University of Hong Kong and Hong Kong Monetary Authority - Research Department
Downloads 148 (195,237)
Citation 4

Abstract:

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Options, Constant elasticity of variance, Partial differential equation, Lie algebra

30.

Price Cointegration between Sovereign CDS and Currency Option Markets in the Financial Crises of 2007-2013

International Review of Economics & Finance, 40 (2015) 174–190
Number of pages: 17 Posted: 01 Jan 2012 Last Revised: 21 Dec 2015
Cho-Hoi Hui and Tom Fong
Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
Downloads 147 (196,230)
Citation 2

Abstract:

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Sovereign Risk, Currency Options, Credit Default Swaps, Cointegration

31.

Pricing Vulnerable European Options With Stochastic Default Barriers

IMA Journal of Management Mathematics, Vol. 18, No. 4, pp. 315-329, 2007
Number of pages: 15 Posted: 31 May 2007
Cho-Hoi Hui, Chi-Fai Lo and K. C. Ku
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and The Chinese University of Hong Kong (CUHK)
Downloads 144 (199,549)

Abstract:

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option pricing, credit risk, derivatives

Pricing Corporate Bonds with Interest Rates Following Double Square-Root Process

International Journal of Financial Engineering, Vol. 3, No. 3, (2016), 1650015 (31 pages)
Number of pages: 31 Posted: 07 Dec 2012 Last Revised: 19 Nov 2016
Chi-Fai Lo and Cho-Hoi Hui
The Chinese University of Hong Kong and Hong Kong Monetary Authority - Research Department
Downloads 110 (246,412)
Citation 3

Abstract:

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Finance, Corporate bond pricing, Stochastic interest rate

Pricing Corporate Bonds with Interest Rates Following Double Square-Root Process

HKIMR Working Paper No.11/2016
Number of pages: 41 Posted: 20 Jun 2016
Chi-Fai Lo and Cho-Hoi Hui
The Chinese University of Hong Kong and Hong Kong Monetary Authority - Research Department
Downloads 31 (468,297)

Abstract:

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Corporate bond pricing model; Stochastic interest rate; Leverage ratio

33.

Measuring Provisions for Collateralised Retail Lending

Journal of Economics and Business, Vol. 58, pp. 343-361, 2006
Number of pages: 19 Posted: 01 May 2007
Cho-Hoi Hui, Chi-Fai Lo, T. C. Wong and P. K. Man
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong, Hong Kong Monetary Authority - Research Department and Chinese University of Hong Kong - Department of Physics
Downloads 131 (215,370)

Abstract:

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credit risk, retail lending, Basel II

Exchange Rate Dynamics and US Dollar-Denominated Sovereign Bond Prices in Emerging Markets

Institute of Global Finance Working Paper Vol. 3, No. 1, Paper 3
Number of pages: 39 Posted: 23 Dec 2016
Cho-Hoi Hui, Chi-Fai Lo and Po-Hon Chau
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and The Chinese University of Hong Kong (CUHK)
Downloads 81 (301,846)

Abstract:

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Sovereign risk, Bond pricing model, Exchange rates, Emerging markets

Exchange Rate Dynamics and US Dollar-Denominated Sovereign Bond Prices in Emerging Markets

North American Journal of Economics and Finance, Forthcoming
Number of pages: 20 Posted: 11 May 2016 Last Revised: 26 Dec 2018
Cho-Hoi Hui, Chi-Fai Lo and Po-Hon Chau
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and The Chinese University of Hong Kong (CUHK)
Downloads 48 (397,036)
Citation 1

Abstract:

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Sovereign risk; Bond pricing model; Exchange rates; Emerging markets

35.

Are Corporates' Target Leverage Ratios Time-Dependent?

International Review of Financial Analysis, Vol. 15, pp. 220-236, 2006
Number of pages: 17 Posted: 25 Apr 2007
Cho-Hoi Hui, Chi-Fai Lo and M. X. Huang
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and Chinese University of Hong Kong - Department of Physics and Institute of Theoretical Physics
Downloads 125 (223,210)
Citation 7

Abstract:

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Credit Risk Models, Credit Ratings, Default Probability

36.

Modeling Forward Credit Risk - An Options Approach

Journal of Fixed Income, Vol. 9, No. 2, pp. 54-61, 1999
Number of pages: 9 Posted: 09 May 2007
Cho-Hoi Hui
Hong Kong Monetary Authority - Research Department
Downloads 121 (228,760)

Abstract:

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Basel II, Forward Credit Risk, Maturity Mismatches

37.

Option-Implied Correlation between iTraxx Europe Financials and Non-Financials Indexes: A Measure of Spillover Effect in European Debt Crisis

Journal of Banking and Finance, Vol. 37, pp. 3694-3703, 2013
Number of pages: 10 Posted: 31 Mar 2012 Last Revised: 02 Jul 2013
Cho-Hoi Hui, Chi-Fai Lo and C.S. Lau
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and The Chinese University of Hong Kong
Downloads 118 (233,059)
Citation 3

Abstract:

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credit default swaps, European debt crisis, option-implied correlation

38.

Pricing Multi-Asset Financial Derivatives With Time-Dependent Parameters - Lie Algebraic Approach

International Journal of Mathematics and Mathematical Sciences, Vol. 32, No. 7, pp. 401-410, 2002
Number of pages: 13 Posted: 27 Aug 2007
Chi-Fai Lo and Cho-Hoi Hui
The Chinese University of Hong Kong and Hong Kong Monetary Authority - Research Department
Downloads 109 (246,741)
Citation 1

Abstract:

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Option pricing, Lie algebraic approach, Time-dependent parameters

39.

The RMB Central Parity Formation Mechanism: August 2015 to December 2016

Journal of International Money and Finance, Forthcoming
Number of pages: 21 Posted: 22 Mar 2017 Last Revised: 24 Jul 2018
Yin-Wong Cheung, Cho-Hoi Hui and Andrew Tsang
City University of Hong Kong - Department of Economics & Finance, Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
Downloads 103 (256,653)
Citation 3

Abstract:

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China’s Exchange Rate Policy, Currency Basket, Multiplicative Interaction Model, Onshore and Offshore RMB Rates, Volatility

40.

A Simple Analytical Model for Dynamics of Time-Varying Target Leverage Ratios

European Physical Journal B, Vol. 85, No 3, Article Number 102, 2012
Number of pages: 7 Posted: 03 Sep 2009 Last Revised: 27 Mar 2012
Chi-Fai Lo and Cho-Hoi Hui
The Chinese University of Hong Kong and Hong Kong Monetary Authority - Research Department
Downloads 98 (265,337)
Citation 1

Abstract:

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Target leverage ratios, Fokker-Planck equation, Mean-reverting dynamics

41.

What Drives Hong Kong Dollar Swap Spreads: Credit or Liquidity?

Number of pages: 21 Posted: 29 Sep 2008
Cho-Hoi Hui and Lillie Lam
Hong Kong Monetary Authority - Research Department and affiliation not provided to SSRN
Downloads 96 (268,877)

Abstract:

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Hong Kong dollar interest rates, swap spreads, vector error-correction model, sub-prime crisis

Dynamics of Market Anomalies and Measurement Errors of Risk-Free Interest Rates

HKIMR Working Paper No. 11/2017
Number of pages: 31 Posted: 06 Jun 2017
Cho-Hoi Hui, Chi-Fai Lo and Chin-To Fung
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and The Chinese University of Hong Kong (CUHK)
Downloads 48 (397,036)

Abstract:

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covered interest rate parity, swap spreads, treasuries, term-structure models, safe assets

Dynamics of Market Anomalies and Measurement Errors of Risk-Free Interest Rates

Number of pages: 34 Posted: 20 Mar 2017 Last Revised: 07 Jun 2017
Cho-Hoi Hui, Chi-Fai Lo and Chin-To Fung
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and The Chinese University of Hong Kong (CUHK)
Downloads 45 (408,021)

Abstract:

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covered interest rate parity, swap spreads, Treasuries, term-structure models; safe assets

43.

Explaining Share Price Disparity with Parameter Uncertainty: Evidence from Chinese A- and H-Shares

Journal of Banking and Finance , Vol. 37, (2013), pp. 1073-1083
Number of pages: 11 Posted: 26 Oct 2011 Last Revised: 22 Apr 2013
Tsz-Kin Chung, Cho-Hoi Hui and Ka-Fai Li
IHS Markit, Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
Downloads 86 (288,375)
Citation 6

Abstract:

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Market Segmentation, A and H Shares, Uncertainty

44.

The Credibility of the Hong Kong’s Link from the Perspective of Modern Financial Theory

Journal of Money, Credit, and Banking, Vol. 43, No. 1, pp. 185-206, 2011
Number of pages: 22 Posted: 10 Feb 2009 Last Revised: 23 Jan 2011
Hans Genberg and Cho-Hoi Hui
University of Geneva - Graduate Institute of International Studies (HEI) and Hong Kong Monetary Authority - Research Department
Downloads 83 (294,682)
Citation 11

Abstract:

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Hong Kong dollar, Linked Exchange Rate system, target zone

45.

Is the Hong Kong Dollar Exchange Rate 'Bounded' in the Convertibility Zone?

Hong Kong Monetary Authority Working Paper No. 13/2007
Number of pages: 14 Posted: 05 Oct 2007
Cho-Hoi Hui and Tom Fong
Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
Downloads 78 (305,794)
Citation 2

Abstract:

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Linked Exchange Rate system, target zone, mean reversion, bounded process

46.

Hong Kong Mortgage Rate Setting - An Alternative Reference Rate?

Number of pages: 51 Posted: 23 Jan 2009
Jim Wong, Cho-Hoi Hui and Laurence Fung
Hong Kong Monetary Authority, Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
Downloads 72 (320,147)

Abstract:

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Authorized Institutions, Best Lending Rate, Composite Interest Rate, Banking Stability

47.

Probabilistic Approach to Measuring Early-Warning Signals of Systemic Contagion Risk

International Journal of Financial Engineering, Vol. 5, No. 2 (2018) 1850010
Number of pages: 25 Posted: 01 Sep 2015 Last Revised: 19 Jul 2018
Cho-Hoi Hui, Chi-Fai Lo, Xiao Fen Zheng and Tom Fong
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong, The Chinese University of Hong Kong and Hong Kong Monetary Authority
Downloads 71 (322,618)

Abstract:

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systemic risk; probability density distributions; contagion

Can Exchange Rate Dynamics in Krugman's Target-Zone Model Be Directly Tested?

Number of pages: 44 Posted: 28 Nov 2016
Cho-Hoi Hui, Chi-Fai Lo and Po-Hon Chau
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and The Chinese University of Hong Kong (CUHK)
Downloads 37 (440,606)

Abstract:

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Can Exchange Rate Dynamics in Krugman's Target-Zone Model Be Directly Tested?

HKIMR Working Paper No. 03/2017
Number of pages: 38 Posted: 01 Mar 2017
Cho-Hoi Hui, Chi-Fai Lo and Po-Hon Chau
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and The Chinese University of Hong Kong (CUHK)
Downloads 27 (489,595)

Abstract:

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Exchange Rate Dynamics, Target Zones, Interventions, Stochastic Processes

49.

Swiss Franc’s One-Sided Target Zone During 2011-2015

International Review of Economics & Finance, Vol. 44, 54-67, 2016
Number of pages: 14 Posted: 21 Jul 2015 Last Revised: 05 Apr 2016
Cho-Hoi Hui, Chi-Fai Lo and Tom Fong
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and Hong Kong Monetary Authority
Downloads 64 (340,944)
Citation 7

Abstract:

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Exchange Rate Target Zone, Swiss Franc, Quasi-Bounded Process

50.

Discriminatory Power and Predictions of Defaults of Structural Credit Risk Models

Journal of Risk Model Validation, Vol. 3, No. 4, 2009/2010
Number of pages: 23 Posted: 25 Sep 2009 Last Revised: 11 Mar 2010
T. C. Wong, Cho-Hoi Hui and Chi-Fai Lo
Hong Kong Monetary Authority - Research Department, Hong Kong Monetary Authority - Research Department and The Chinese University of Hong Kong
Downloads 62 (346,424)

Abstract:

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Default probabilities, Credit risk models

51.

A Quasi-Bounded Target Zone Model – Theory and Application to Hong Kong Dollar

International Review of Economics & Finance, Vol. 37, 2015, 1-17
Number of pages: 17 Posted: 27 Nov 2012 Last Revised: 29 Jun 2015
Chi-Fai Lo, Cho-Hoi Hui, Tom Fong and S.W. Chu
The Chinese University of Hong Kong, Hong Kong Monetary Authority - Research Department, Hong Kong Monetary Authority and The Chinese University of Hong Kong (CUHK)
Downloads 59 (355,032)
Citation 7

Abstract:

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stochastics process, target zone, bounded process

52.

The Renminbi Central Parity: An Empirical Investigation

CESifo Working Paper Series No. 6963
Number of pages: 33 Posted: 26 Jul 2016
Yin-Wong Cheung, Cho-Hoi Hui and Andrew Tsang
City University of Hong Kong - Department of Economics & Finance, Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
Downloads 58 (358,037)

Abstract:

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China, RMB, exchange rate policy, central parity rate, on-shore and off-shore rates

53.

A Note on Estimating Realignment Probabilities - A First-Passage-Time Approach

Journal of International Money and Finance, Vol. 28, pp. 804-812, 2009
Number of pages: 10 Posted: 11 Jun 2008 Last Revised: 18 May 2009
Cho-Hoi Hui and Chi-Fai Lo
Hong Kong Monetary Authority - Research Department and The Chinese University of Hong Kong
Downloads 54 (370,495)
Citation 5

Abstract:

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realignment risk, mean-reversion, first-passage-time probability

54.

Term-Structure Modelling at the Zero Lower Bound: Implications for Estimating the Forward Term Premium

Finance Research Letters, Vol. 21: 100-106 (2017)
Number of pages: 7 Posted: 03 Nov 2015 Last Revised: 12 Feb 2018
Tsz-Kin Chung, Cho-Hoi Hui and Ka-Fai Li
IHS Markit, Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
Downloads 48 (390,184)
Citation 1

Abstract:

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term premium; zero lower bound; quadratic Gaussian term-structure model; Bayesian MCMC

55.

Capital Management and Leverage of Foreign Bank Subsidiaries in a Host Country: A Case in Hong Kong

HKIMR Working Paper No. 03/2015
Number of pages: 32 Posted: 29 Jan 2015
Kelvin Ho, Cho-Hoi Hui, Ka-Fai Li and Jim Wong
Hong Kong Monetary Authority, Hong Kong Monetary Authority - Research Department, Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads 41 (415,121)
Citation 1

Abstract:

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Bank Leverage, Global Banks’ Subsidiaries, Speed of Adjustment, Global Liquidity, Trade-Off Theory

56.

The International Transmission of Shocks: Foreign Bank Branches in Hong Kong During Crises

HKIMR Working Paper No.02/2015
Number of pages: 27 Posted: 17 Jan 2015
Simon H. Kwan, T. C. Wong and Cho-Hoi Hui
Federal Reserve Bank of San Francisco, Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority - Research Department
Downloads 41 (415,121)

Abstract:

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Shocks Transmission, Foreign Banks, Financial Crisis, Liquidity Management

57.

Assessing the Effectiveness of Date-Based Forward Guidance at the Zero Lower Bound with a Non-Gaussian Affine Term-Structure Model

HKIMR Working Paper No.19/2014
Number of pages: 30 Posted: 08 Aug 2014
Tsz-Kin Chung, Cho-Hoi Hui and Ka-Fai Li
IHS Markit, Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
Downloads 41 (415,121)
Citation 2

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Forward Guidance, Zero Lower Bound, Non-Gaussian Term-Structure Model

58.

Dynamic Interactions between Government Bonds and Exchange Rate Expectations in Currency Options

HKIMR Working Paper No.18/2016
Number of pages: 22 Posted: 29 Sep 2016
Cho-Hoi Hui and Edward Tan
Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
Downloads 36 (435,028)

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government bonds; currency options; quantitative easing; information flow

59.

Exchange Rate Dynamics and United States Dollar-Denominated Sovereign Bond Prices in Emerging Markets

ADBI Working Paper 530
Number of pages: 37 Posted: 07 Jun 2018
Cho-Hoi Hui, Chi-Fai Lo and Po-Hon Chau
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and The Chinese University of Hong Kong (CUHK)
Downloads 25 (486,855)

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bond pricing model, emerging markets, exchange rates, sovereign risk

60.

Exchange Rate Dynamics Under a Currency Board When Policy Rates are Zero

HKIMR Working Paper No. 21/2017
Number of pages: 20 Posted: 20 Sep 2017
Cho-Hoi Hui, Ka-Fai Li and Chi-Fai Lo
Hong Kong Monetary Authority - Research Department, Hong Kong Monetary Authority and The Chinese University of Hong Kong
Downloads 17 (532,363)

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Target zone model, currency board, Hong Kong dollar

61.

Exchange Rate Solutions With Currency Crashes

HKIMR Working Paper No.25/2018
Number of pages: 42 Posted: 20 Dec 2018
Cho-Hoi Hui, Chi-Fai Lo and Chi-Hei Liu
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and The Chinese University of Hong Kong (CUHK)
Downloads 15 (543,975)

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exchange rate dynamics, currency crash, stochastic processes, risk reversals

62.

Unique Fundamental Dynamics of Target-Zone Exchange Rates

Number of pages: 16 Posted: 28 May 2019 Last Revised: 28 Jun 2019
Chi-Fai Lo and Cho-Hoi Hui
The Chinese University of Hong Kong and Hong Kong Monetary Authority - Research Department
Downloads 11 (568,049)

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exchange rate dynamics, target zones, interventions, stochastic processes

63.

A Simple Explanation of Biased Movements of Renminbi Exchange Rate

International Journal of Financial Engineering, Vol. 05, No. 04, 1850040 (2018)
Number of pages: 18 Posted: 08 Jan 2019 Last Revised: 20 Jan 2019
Cho-Hoi Hui and Chi-Fai Lo
Hong Kong Monetary Authority - Research Department and The Chinese University of Hong Kong
Downloads 10 (574,207)

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China’s exchange rate policy, renminbi, target zones, stochastics

64.

Emerging Market Bond Funds: Flow-Performance Relationship and Long-Term Institutional Investors

BIS Paper No. 102o
Number of pages: 6 Posted: 22 May 2019
Cho-Hoi Hui
Hong Kong Monetary Authority - Research Department
Downloads 8 (586,617)

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65.

Modelling Bounded Stochastic Motion

Number of pages: 8 Posted: 13 Jul 2019
Chi-Fai Lo and Cho-Hoi Hui
The Chinese University of Hong Kong and Hong Kong Monetary Authority - Research Department
Downloads 4 (612,793)

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Constrained stochastic motion, quasi-bounded process, time-varying boundaries, crash risk

Other Papers (1)

Total Downloads: 181
1.

Market Expectation of Appreciation of the Renminbi

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 24 Posted: 20 Aug 2008 Last Revised: 05 Jun 2018
Cho-Hoi Hui, Chi-Fai Lo and Tsz-Kin Chung
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and IHS Markit
Downloads 181 (150,388)

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renminbi exchange rate, first-passage-time distributions, currency options