T. K. Chung

Tokyo Metropolitan University

1-1 Minami Ohsawa, Hachioji-shi

Tokyo 192-0397

Japan

SCHOLARLY PAPERS

14

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3,459

CITATIONS
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Top 21,968

in Total Papers Citations

13

Scholarly Papers (14)

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: 05 Jul 2012
Cho-Hoi Hui and T. K. Chung
Hong Kong Monetary Authority - Research Department and Tokyo Metropolitan University
Downloads 922 (19,466)
Citation 3

Abstract:

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

2.

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 Cho-Hoi Hui
The Chinese University of Hong Kong, Tokyo Metropolitan University and Hong Kong Monetary Authority - Research Department
Downloads 392 (55,283)

Abstract:

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

3.

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
Cho-Hoi 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 (66,582)

Abstract:

Sub-prime crisis, carry trades, liquidity, leverage

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 T. K. Chung
Hong Kong Monetary Authority - Research Department, University of Geneva - Graduate Institute of International Studies (HEI) and Tokyo Metropolitan University
Downloads 314 (72,099)
Citation 5

Abstract:

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, 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 (88,010)

Abstract:

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
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 (89,338)
Citation 5

Abstract:

FX swaps, covered interest parity, counterparty risk

7.

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
Cho-Hoi 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 (139,469)

Abstract:

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

8.

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

Number of pages: 11 Posted: 24 Oct 2009
Cho-Hoi Hui and T. K. Chung
Hong Kong Monetary Authority - Research Department and Tokyo Metropolitan University
Downloads 159 (150,644)

Abstract:

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

9.

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
Cho-Hoi 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 (214,115)

Abstract:

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

10.

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, Cho-Hoi Hui and T. K. Chung
Hong Kong Monetary Authority, Hong Kong Monetary Authority - Research Department and Tokyo Metropolitan University
Downloads 91 (158,110)

Abstract:

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

11.

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, Cho-Hoi Hui and Ka-Fai Li
Tokyo Metropolitan University, Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
Downloads 63 (265,363)

Abstract:

Market Segmentation, A and H Shares, Uncertainty

12.

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, Cho-Hoi Hui and Ka-Fai Li
Tokyo Metropolitan University, Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
Downloads 25 (374,281)

Abstract:

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

13.

Enhanced Equity-Credit Modeling for Contingent Convertibles

Number of pages: 33 Posted: 25 Sep 2015 Last Revised: 03 Feb 2016
T. K. Chung and Yue Kuen Kwok
Tokyo Metropolitan University and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 8 (239,087)

Abstract:

Contingent convertibles, equity-credit modeling, Fortet algorithms

14.

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, Cho-Hoi Hui and Ka-Fai Li
Tokyo Metropolitan University, Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
Downloads 0 (385,674)

Abstract:

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