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Tsz-Kin Chung

IHS Markit

Tokyo

Japan

Tokyo Metropolitan University

1-1 Minami Ohsawa Hachioji-shi

Tokyo 192-0397

Japan

SCHOLARLY PAPERS

7

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3,660

TOTAL CITATIONS
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Top 23,000

in Total Papers Citations

21

Scholarly Papers (7)

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1.

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: 20 Jul 2022
Cho-Hoi Hui and Tsz-Kin Chung
Hong Kong Monetary Authority - Research Department and IHS Markit
Downloads 1,029 (54,635)
Citation 3

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

2.

CVA Wrong Way Risk: Calibration Using Quanto CDS Basis

Number of pages: 17 Posted: 06 Jun 2018 Last Revised: 19 Jun 2019
Tsz-Kin Chung and Jon Gregory
IHS Markit and Independent
Downloads 784 (79,760)
Citation 2

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credit valuation adjustment, wrong way risk, quanto CDS, FX devaluation

3.

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 525 (133,095)

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

4.

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 431 (170,764)
Citation 1

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

5.

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 349 (214,990)

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

6.

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

Number of pages: 11 Posted: 10 Feb 2009
Hans Genberg, Cho-Hoi Hui, Alfred Wong and Tsz-Kin Chung
University of Geneva - Graduate Institute of International Studies (HEI), Hong Kong Monetary Authority - Research Department, Hong Kong Monetary Authority and IHS Markit
Downloads 338 (222,746)
Citation 12

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FX swaps, covered interest parity, counterparty risk

7.

Enhanced Equity-Credit Modeling for Contingent Convertibles

Number of pages: 33 Posted: 25 Sep 2015 Last Revised: 03 Feb 2016
Tsz-Kin Chung and Yue Kuen Kwok
IHS Markit and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 204 (373,348)
Citation 3

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Contingent convertibles, equity-credit modeling, Fortet algorithms

Other Papers (1)

Total Downloads: 209
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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 209 (150,388)

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