C. H. Hui

Hong Kong Monetary Authority - Research Department

Hong Kong

China

SCHOLARLY PAPERS

63

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CITATIONS
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124

Scholarly Papers (63)

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
C. H. Hui
Hong Kong Monetary Authority - Research Department
Downloads 1,171 (11,445)
Citation 11

Abstract:

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
C. H. Hui and T. K. Chung
Hong Kong Monetary Authority - Research Department and Tokyo Metropolitan University
Downloads 920 (19,236)
Citation 3

Abstract:

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 C. H. Hui
Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority - Research Department
Downloads 619 (26,970)
Citation 2

Abstract:

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 C. H. Hui
The Chinese University of Hong Kong, affiliation not provided to SSRN and Hong Kong Monetary Authority - Research Department
Downloads 574 (33,676)
Citation 9

Abstract:

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
C. H. Hui
Hong Kong Monetary Authority - Research Department
Downloads 484 (40,580)
Citation 7

Abstract:

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 C. H. Hui
The Chinese University of Hong Kong, Department of Physics and Hong Kong Monetary Authority - Research Department
Downloads 476 (43,245)
Citation 11

Abstract:

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, T. K. Chung and C. H. Hui
The Chinese University of Hong Kong, Tokyo Metropolitan University and Hong Kong Monetary Authority - Research Department
Downloads 392 (54,986)

Abstract:

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
C. H. Hui and Chi-Fai Lo
Hong Kong Monetary Authority - Research Department and The Chinese University of Hong Kong
Downloads 388 (58,003)
Citation 5

Abstract:

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
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 340 (65,435)
Citation 6

Abstract:

Basel II, Default probabilities, Benchmarking models

10.

Liquidity, Risk Appetite and Exchange Rate Movements during the Financial Crisis of 2007-2009

Hong Kong Monetary Authority Working Paper No. 11/2009
Number of pages: 23 Posted: 30 Jun 2009 Last Revised: 26 Aug 2009
C. H. Hui, Hans Genberg and T. K. Chung
Hong Kong Monetary Authority - Research Department, University of Geneva - Graduate Institute of International Studies (HEI) and Tokyo Metropolitan University
Downloads 339 (66,084)

Abstract:

Sub-prime crisis, carry trades, liquidity, leverage

11.

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
C. H. Hui, Hans Genberg and T. K. Chung
Hong Kong Monetary Authority - Research Department, University of Geneva - Graduate Institute of International Studies (HEI) and Tokyo Metropolitan University
Downloads 314 (71,329)
Citation 5

Abstract:

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

12.

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 C. H. Hui
The Chinese University of Hong Kong and Hong Kong Monetary Authority - Research Department
Downloads 305 (76,988)
Citation 3

Abstract:

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

13.

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
C. H. Hui and Chi-Fai Lo
Hong Kong Monetary Authority - Research Department and The Chinese University of Hong Kong
Downloads 292 (78,067)
Citation 1

Abstract:

credit risk, risky bonds, contingent claim analysis

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
C. H. Hui, T. K. Chung and Chi-Fai Lo
Hong Kong Monetary Authority - Research Department, Tokyo Metropolitan University and The Chinese University of Hong Kong
Downloads 275 (86,747)

Abstract:

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

15.

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 271 (91,720)

Abstract:

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

16.

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 C. H. Hui
The Chinese University of Hong Kong and Hong Kong Monetary Authority - Research Department
Downloads 267 (87,065)
Citation 1

Abstract:

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

17.

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 Tokyo Metropolitan University
Downloads 255 (88,070)
Citation 5

Abstract:

FX swaps, covered interest parity, counterparty risk

18.

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 C. H. Hui
The Chinese University of Hong Kong and Hong Kong Monetary Authority - Research Department
Downloads 251 (90,953)
Citation 7

Abstract:

Lie algebra, option pricing, corporate bond pricing

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 C. H. Hui
The Chinese University of Hong Kong, affiliation not provided to SSRN and Hong Kong Monetary Authority - Research Department
Downloads 216 (111,237)
Citation 5

Abstract:

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 C. H. Hui
Hong Kong Monetary Authority, Hong Kong Monetary Authority, Hong Kong Monetary Authority and Hong Kong Monetary Authority - Research Department
Downloads 197 (118,509)

Abstract:

Interest rate risk, Residential mortgage rate, Banking stability

21.

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
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 191 (123,019)

Abstract:

Leverage, Default probabilities, Credit risk

22.

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
C. H. 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 190 (119,646)
Citation 15

Abstract:

Bond pricing model, Merton model, Default barriers

23.

Predictions of Default Probabilities by Models with Dynamic Leverage Ratios

Number of pages: 30 Posted: 28 Mar 2008
C. H. 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 183 (129,522)
Citation 1

Abstract:

Credit Risk Models, Credit Ratings, Default Probability

24.

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: 24 Dec 2012
C. H. Hui, Chi-Fai Lo and T. K. Chung
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and Tokyo Metropolitan University
Downloads 180 (137,622)

Abstract:

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

25.

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
C. H. 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 174 (135,565)
Citation 1

Abstract:

Option pricing, Credit risk, Derivatives

26.

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
C. H. Hui and Chi-Fai Lo
Hong Kong Monetary Authority - Research Department and The Chinese University of Hong Kong
Downloads 166 (142,562)
Citation 3

Abstract:

risky bonds, credit risk, emerging markets, stress tests

27.

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, C. H. 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 161 (144,831)

Abstract:

Asian financial crisis, credit rating agencies, credit risk models

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
C. H. 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 160 (152,613)
Citation 4

Abstract:

Barrier options, Black and Scholes model, partial differential equations

29.

Pricing Anomalies in Interest Rate Markets During the Financial Crisis of 2007-2009

Number of pages: 11 Posted: 24 Oct 2009
C. H. Hui and T. K. Chung
Hong Kong Monetary Authority - Research Department and Tokyo Metropolitan University
Downloads 159 (148,661)

Abstract:

Interest rate markets, sub-prime crisis, funding constraints, pricing anomalies

30.

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 C. H. 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 154 (151,053)

Abstract:

CEV option, similarity transformation, Bessel equation, moving barrier

31.

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 C. H. Hui
The Chinese University of Hong Kong and Hong Kong Monetary Authority - Research Department
Downloads 139 (166,150)
Citation 7

Abstract:

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

32.

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
C. H. 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 135 (169,960)

Abstract:

option pricing, credit risk, derivatives

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
C. H. 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 121 (183,549)
Citation 1

Abstract:

credit risk, retail lending, Basel II

34.

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
C. H. Hui and Tom Fong
Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
Downloads 120 (175,889)

Abstract:

Sovereign Risk, Currency Options, Credit Default Swaps, Cointegration

The Renminbi Central Parity: An Empirical Investigation

HKIMR Working Paper No.10/2016
Number of pages: 45 Posted: 20 Jun 2016
Yin-Wong Cheung, C. H. 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 101 (219,891)

Abstract:

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, C. H. 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 16 (479,361)

Abstract:

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

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 C. H. Hui
The Chinese University of Hong Kong and Hong Kong Monetary Authority - Research Department
Downloads 93 (232,751)

Abstract:

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 C. H. Hui
The Chinese University of Hong Kong and Hong Kong Monetary Authority - Research Department
Downloads 24 (433,396)

Abstract:

Corporate bond pricing model; Stochastic interest rate; Leverage ratio

37.

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
C. H. 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 115 (194,171)
Citation 6

Abstract:

Credit Risk Models, Credit Ratings, Default Probability

38.

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
C. H. Hui
Hong Kong Monetary Authority - Research Department
Downloads 113 (195,399)

Abstract:

Basel II, Forward Credit Risk, Maturity Mismatches

39.

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 C. H. Hui
The Chinese University of Hong Kong and Hong Kong Monetary Authority - Research Department
Downloads 101 (212,740)

Abstract:

Option pricing, Lie algebraic approach, Time-dependent parameters

40.

Using First-Passage-Time Density to Assess Realignment Risk of a Target Zone

20th Australasian Finance & Banking Conference 2007 Paper
Number of pages: 24 Posted: 14 Aug 2007
C. H. Hui, Chi-Fai Lo and T. K. Chung
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and Tokyo Metropolitan University
Downloads 99 (211,323)

Abstract:

realignment risk, ERM crisis, first-passage-time probability

41.

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
C. H. 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 92 (214,185)

Abstract:

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

42.

Determinants and Dynamics of Price Disparity in Onshore and Offshore Renminbi Forward Exchange Rate Markets

HKIMR Working Paper No.24/2012
Number of pages: 25 Posted: 03 Nov 2012
Ka-Fai Li, C. H. Hui and T. K. Chung
Hong Kong Monetary Authority, Hong Kong Monetary Authority - Research Department and Tokyo Metropolitan University
Downloads 91 (158,682)

Abstract:

price disparity, Renminbi forward exchange rates, onshore and offshore markets, spot rate model

43.

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 C. H. Hui
The Chinese University of Hong Kong and Hong Kong Monetary Authority - Research Department
Downloads 78 (236,084)

Abstract:

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

44.

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

Number of pages: 21 Posted: 29 Sep 2008
C. H. Hui and Lillie Lam
Hong Kong Monetary Authority - Research Department and affiliation not provided to SSRN
Downloads 76 (236,084)

Abstract:

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

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
C. H. 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 45 (345,716)

Abstract:

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

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

HKIMR Working Paper No.07/2016
Number of pages: 44 Posted: 11 May 2016
C. H. 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 30 (403,028)

Abstract:

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

46.

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
C. H. Hui and Tom Fong
Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
Downloads 71 (261,905)
Citation 1

Abstract:

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

47.

Hong Kong Mortgage Rate Setting - An Alternative Reference Rate?

Number of pages: 51 Posted: 23 Jan 2009
Jim Wong, C. H. Hui and Laurence Fung
Hong Kong Monetary Authority, Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
Downloads 64 (276,720)

Abstract:

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

48.

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
T. K. Chung, C. H. Hui and Ka-Fai Li
Tokyo Metropolitan University, Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
Downloads 63 (261,905)

Abstract:

Market Segmentation, A and H Shares, Uncertainty

49.

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 C. H. Hui
University of Geneva - Graduate Institute of International Studies (HEI) and Hong Kong Monetary Authority - Research Department
Downloads 63 (259,837)
Citation 3

Abstract:

Hong Kong dollar, Linked Exchange Rate system, target zone

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, C. H. 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 53 (316,049)

Abstract:

Default probabilities, Credit risk models

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
C. H. 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 33 (389,840)

Abstract:

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

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
C. H. 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 17 (473,724)

Abstract:

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

52.

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
C. H. Hui and Chi-Fai Lo
Hong Kong Monetary Authority - Research Department and The Chinese University of Hong Kong
Downloads 44 (327,668)
Citation 1

Abstract:

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

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

Number of pages: 44 Posted: 28 Nov 2016
C. H. 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 22 (444,782)

Abstract:

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
C. H. 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 19 (462,168)

Abstract:

Exchange Rate Dynamics, Target Zones, Interventions, Stochastic Processes

54.

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, C. H. 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 28 (359,110)

Abstract:

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

55.

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
T. K. Chung, C. H. Hui and Ka-Fai Li
Tokyo Metropolitan University, Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
Downloads 25 (369,603)

Abstract:

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

56.

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, C. H. 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 22 (373,244)

Abstract:

stochastics process, target zone, bounded process

57.

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 C. H. Hui
Federal Reserve Bank of San Francisco, Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority - Research Department
Downloads 19 (397,284)

Abstract:

Shocks Transmission, Foreign Banks, Financial Crisis, Liquidity Management

58.

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
C. H. 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 13 (336,495)

Abstract:

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

59.

Measuring Contagion-Induced Funding Liquidity Risk in Sovereign Debt Markets

HKIMR Working Paper No.18/2015
Number of pages: 42 Posted: 01 Sep 2015
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong, The Chinese University of Hong Kong and Hong Kong Monetary Authority
Downloads 8 (352,388)

Abstract:

European Sovereign Debt Crisis, Liquidity Risk, Contagion

60.

The RMB Central Parity Formation Mechanism after August 2015: A Statistical Analysis

HKIMR Working Paper No. 06/2017
Number of pages: 37 Posted: 22 Mar 2017 Last Revised: 17 Jun 2017
Yin-Wong Cheung, C. H. Hui and Andrew Tsang
City University of Hong Kong - Department of Economics & Finance, Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
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Abstract:

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

61.

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
C. H. Hui and Edward Tan
Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
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Abstract:

government bonds; currency options; quantitative easing; information flow

62.

The Renminbi Central Parity: An Empirical Investigation

CESifo Working Paper Series No. 6963
Number of pages: 33 Posted: 26 Jul 2016
Yin-Wong Cheung, C. H. Hui and Andrew Tsang
City University of Hong Kong - Department of Economics & Finance, Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
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Abstract:

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

63.

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

Finance Research Letters, Forthcoming
Number of pages: 21 Posted: 03 Nov 2015 Last Revised: 08 Dec 2016
T. K. Chung, C. H. Hui and Ka-Fai Li
Tokyo Metropolitan University, Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
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Abstract:

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