Cho-Hoi Hui

Hong Kong Monetary Authority - Research Department

Hong Kong

China

SCHOLARLY PAPERS

70

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14,700

SSRN CITATIONS
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Top 5,339

in Total Papers Citations

63

CROSSREF CITATIONS

192

Scholarly Papers (70)

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 1,382 (17,481)
Citation 2

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 956 (30,049)
Citation 3

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 891 (33,161)
Citation 11

Abstract:

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Liquidity risk, stress testing, default risk, banks

4.

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 699 (46,172)

Abstract:

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barrier options, window options, time-dependent parameters

5.

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 695 (46,529)

Abstract:

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Options, constant elasticity of variance, Lie Algebra

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 549 (63,026)
Citation 17

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 457 (79,005)

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 432 (84,407)
Citation 2

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 382 (97,383)

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 360 (104,086)
Citation 1

Abstract:

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

11.

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 353 (106,404)

Abstract:

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credit risk, risky bonds, contingent claim analysis

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 Cho-Hoi Hui
The Chinese University of Hong Kong and Hong Kong Monetary Authority - Research Department
Downloads 347 (108,476)

Abstract:

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

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 306 (124,377)

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 297 (128,394)

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 292 (130,734)
Citation 12

Abstract:

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FX swaps, covered interest parity, counterparty risk

16.

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 291 (131,220)
Citation 1

Abstract:

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Lie algebra, option pricing, corporate bond pricing

17.

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 287 (133,125)

Abstract:

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

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 254 (150,703)

Abstract:

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Bond pricing model, Merton model, Default barriers

19.

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 236 (161,927)
Citation 4

Abstract:

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Credit Risk Models, Credit Ratings, Default Probability

20.

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 232 (164,581)

Abstract:

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Barrier options, constant elasticity of variance

21.

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 223 (170,974)

Abstract:

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Interest rate risk, Residential mortgage rate, Banking stability

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 217 (175,481)
Citation 3

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 196 (192,803)
Citation 1

Abstract:

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Option pricing, Credit risk, Derivatives

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
University of California, Santa Cruz - Department of Economics, Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
Downloads 143 (252,919)
Citation 6

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
University of California, Santa Cruz - Department of Economics, Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
Downloads 48 (492,133)

Abstract:

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

25.

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 185 (202,987)

Abstract:

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risky bonds, credit risk, emerging markets, stress tests

26.

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 178 (209,966)
Citation 1

Abstract:

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Sovereign Risk, Currency Options, Credit Default Swaps, Cointegration

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, 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 178 (209,966)
Citation 1

Abstract:

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Asian financial crisis, credit rating agencies, credit risk models

28.

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 171 (217,402)

Abstract:

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CEV option, similarity transformation, Bessel equation, moving barrier

29.

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 169 (219,475)
Citation 1

Abstract:

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Barrier options, Black and Scholes model, partial differential equations

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 123 (284,145)
Citation 2

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 34 (562,807)

Abstract:

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Corporate bond pricing model; Stochastic interest rate; Leverage ratio

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 Cho-Hoi Hui
The Chinese University of Hong Kong and Hong Kong Monetary Authority - Research Department
Downloads 153 (238,659)

Abstract:

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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
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 148 (245,294)

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option pricing, credit risk, derivatives

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 87 (359,725)
Citation 1

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 52 (475,035)
Citation 1

Abstract:

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

34.

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 135 (263,844)

Abstract:

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credit risk, retail lending, Basel II

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 130 (271,432)

Abstract:

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Credit Risk Models, Credit Ratings, Default Probability

36.

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

Journal of International Money and Finance, Vol. 86, 223-243, 2018
Number of pages: 21 Posted: 22 Mar 2017 Last Revised: 02 Jul 2020
Yin-Wong Cheung, Cho-Hoi Hui and Andrew Tsang
University of California, Santa Cruz - Department of Economics, Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
Downloads 127 (276,163)
Citation 4

Abstract:

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

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 126 (277,872)
Citation 1

Abstract:

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

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
Cho-Hoi Hui
Hong Kong Monetary Authority - Research Department
Downloads 126 (277,872)

Abstract:

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Basel II, Forward Credit Risk, Maturity Mismatches

Covered Interest Parity in Cross-Currency Swap Bases and Demand for US Treasuries

International Journal of Financial Engineering, Vol. 7, No. 2 (2020) 2050018
Number of pages: 38 Posted: 06 Jun 2017 Last Revised: 22 Jul 2020
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 72 (402,599)

Abstract:

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cross-currency basis swaps, Treasuries, non-Gaussian affine term-structure models, covered interest parity, 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 50 (483,530)

Abstract:

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

40.

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 115 (296,759)

Abstract:

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Option pricing, Lie algebraic approach, Time-dependent parameters

Crude Oil Price Dynamics with Crash Risk Under Fundamental Shocks

North American Journal of Economics and Finance, 54 (2020), 101238
Number of pages: 52 Posted: 17 Apr 2020 Last Revised: 08 Jul 2020
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong, affiliation not provided to SSRN and Hong Kong Monetary Authority
Downloads 66 (422,405)

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Target zone; quasi-bounded process; crude oil, OPEC; oil demand shocks

Crude Oil Price Dynamics With Crash Risk Under Fundamental Shocks

HKIMR Working Paper No.12/2020
Number of pages: 54 Posted: 15 Jul 2020
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong, affiliation not provided to SSRN and Hong Kong Monetary Authority
Downloads 38 (540,776)

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Target zone; quasi-bounded process; crude oil; OPEC; oil demand shocks

42.

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 102 (322,331)

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systemic risk; probability density distributions; contagion

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 Cho-Hoi Hui
The Chinese University of Hong Kong and Hong Kong Monetary Authority - Research Department
Downloads 102 (322,331)

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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
Cho-Hoi Hui and Lillie Lam
Hong Kong Monetary Authority - Research Department and affiliation not provided to SSRN
Downloads 99 (328,674)

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

45.

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 95 (337,536)
Citation 6

Abstract:

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Market Segmentation, A and H Shares, Uncertainty

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
Cho-Hoi Hui and Tom Fong
Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
Downloads 95 (337,536)
Citation 2

Abstract:

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

47.

Does Bitcoin Behave As a Currency?: A Standard Monetary Model Approach

International Review of Financial Analysis, 70 (2020),101518
Number of pages: 43 Posted: 04 Sep 2019 Last Revised: 07 May 2021
Cho-Hoi Hui, Chi-Fai Lo, Po-Hon Chau and Andrew Wong
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong, The Chinese University of Hong Kong (CUHK) and Hong Kong Monetary Authority
Downloads 94 (339,773)
Citation 1

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bitcoin, money demand, currency crash, flexible-price monetary model, commodities

48.

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 89 (351,642)
Citation 1

Abstract:

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Hong Kong dollar, Linked Exchange Rate system, target zone

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 48 (492,133)

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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 34 (562,807)
Citation 1

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Exchange Rate Dynamics, Target Zones, Interventions, Stochastic Processes

50.

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 79 (377,736)
Citation 7

Abstract:

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

51.

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 76 (386,207)
Citation 1

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Default probabilities, Credit risk models

52.

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 75 (389,110)
Citation 6

Abstract:

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stochastics process, target zone, bounded process

53.

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 73 (394,964)

Abstract:

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

54.

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
University of California, Santa Cruz - Department of Economics, Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
Downloads 66 (417,045)

Abstract:

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

55.

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 55 (455,812)
Citation 1

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

56.

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

57.

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

58.

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
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59.

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 46 (492,055)

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government bonds; currency options; quantitative easing; information flow

60.

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 46 (492,055)
Citation 1

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Shocks Transmission, Foreign Banks, Financial Crisis, Liquidity Management

61.

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 43 (505,470)

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

62.

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 43 (505,470)
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Forward Guidance, Zero Lower Bound, Non-Gaussian Term-Structure Model

63.

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 35 (544,279)
Citation 1

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

64.

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

65.

Unique Fundamental Dynamics of Target-zone Exchange Rates

Number of pages: 26 Posted: 12 Aug 2019
Chi-Fai Lo, Cho-Hoi Hui and Chi-Hei Liu
The Chinese University of Hong Kong, Hong Kong Monetary Authority - Research Department and The Chinese University of Hong Kong (CUHK)
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Exchange rate dynamics, target zones, interventions, stochastic processes

66.

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
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Target zone model, currency board, Hong Kong dollar

67.

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

68.

Foreign Exchange Dynamics and Reserve Accumulation under Capital Inflows

HKIMR Working Paper No.18/2020
Number of pages: 43 Posted: 03 Mar 2021
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)
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Exchange rate dynamics, capital flows, interventions, zero lower bound

69.

Are Government Bond Yields Bounded or Quasi-Bounded at the Zero? – Credibility of Central Banks' Commitments

HKIMR Working Paper No.14/2021
Number of pages: 40 Posted: 02 Aug 2021
Cho-Hoi Hui, Chi-Fai Lo and Ho-Yan Ip
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and affiliation not provided to SSRN
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Zero lower bound, negative interest rates, government bonds, stochastic process

Do Countries Adjust the Carbon Intensity of Energy Towards Targets? – The Role of Financial Development on the Adjustment

HKIMR Working Paper No.09/2021
Number of pages: 52 Posted: 10 May 2021
Cho-Hoi Hui and Andrew Wong
Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
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CO2 emissions, carbon intensity of energy, financial development, trade-off theory

Do countries adjust the carbon intensity of energy towards targets? – The role of financial development on the adjustment

SN Business & Economics, forthcoming
Number of pages: 52 Posted: 27 Aug 2021
Cho-Hoi Hui and Andrew Wong
Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
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CO2 emissions, carbon intensity of energy, financial development, trade-off theory

Other Papers (1)

Total Downloads: 183
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 183 (150,388)

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