Tom Fong

Hong Kong Monetary Authority

55/F, Two International Finance Centre, Central

Hong Kong

Hong Kong

SCHOLARLY PAPERS

28

DOWNLOADS
Rank 6,980

SSRN RANKINGS

Top 6,980

in Total Papers Downloads

6,267

CITATIONS
Rank 4,884

SSRN RANKINGS

Top 4,884

in Total Papers Citations

112

Scholarly Papers (28)

1.

A Framework for Stress Testing Banks' Credit Risk

The Journal of Risk Model Validation, Vol. 2, No. 1, pp. 3-23, Spring 2008
Number of pages: 21 Posted: 15 Jan 2009 Last Revised: 04 Mar 2009
Jim Wong, Ka-fai Choi and Tom Fong
Hong Kong Monetary Authority, Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads 1,256 (15,098)
Citation 11

Abstract:

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Hong Kong banking, credit risk, macroeconomic shocks, seemingly unrelated regression, value-at-risk

2.

Loan-to-Value Ratio as a Macroprudential Tool - Hong Kong's Experience and Cross-Country Evidence

Systemic Risk, Basel III, Financial Stability and Regulation 2011
Number of pages: 37 Posted: 25 Feb 2011
Hong Kong Monetary Authority - Research Department, Hong Kong Monetary Authority, Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads 832 (27,812)
Citation 52

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Systemic risk, macroprudential policy, loan-to-value ratio, Hong Kong

3.

Determinants of the Performance of Banks in Hong Kong

Hong Kong Monetary Authority Working Paper Series No. 06/2007
Number of pages: 18 Posted: 23 Nov 2007
Hong Kong Monetary Authority, Hong Kong Monetary Authority, Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
Downloads 780 (30,380)
Citation 6

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Profitability, Price, Hong Kong Banking, Bank efficiency, Market structure

4.

Stress Testing Banks' Credit Risk Using Mixture Vector Autoregressive Models

Number of pages: 23 Posted: 15 Jan 2009
Tom Fong and Chun Shan Wong
Hong Kong Monetary Authority and affiliation not provided to SSRN
Downloads 658 (38,254)
Citation 22

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Stress test, Hong Kong banking, credit risk, mixture autoregressive models, macroeconomic shocks, value-at-risk

5.

Competition in Hong Kong's Banking Sector: A Panzar-Rosse Assessment

Number of pages: 22 Posted: 23 Nov 2007
Hong Kong Monetary Authority, Hong Kong Monetary Authority - Research Department, Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads 648 (38,995)
Citation 4

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Hong Kong, Market structure, Bank competition, Panzar-Rosse model

6.

Share Price Disparity in Chinese Stock Markets

Number of pages: 25 Posted: 27 Sep 2007
Tom Fong, Alfred Wong and Ivy Yong
Hong Kong Monetary Authority, Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads 272 (110,587)
Citation 4

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Price disparity, Chinese stock markets, Panel data analysis

7.

Residential Mortgage Default Risk in Hong Kong

Number of pages: 27 Posted: 23 Jan 2009
Hong Kong Monetary Authority, Hong Kong Monetary Authority, Hong Kong Monetary Authority and Independent
Downloads 244 (123,674)
Citation 3

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Residential Mortgage Market, Loan-to-value Ratio, Negative Equity, Default Probability

8.

Interest Rate Risk in the Pricing of Banks' Mortgage Lending

Number of pages: 27 Posted: 23 Jan 2009
Hong Kong Monetary Authority, Hong Kong Monetary Authority, Hong Kong Monetary Authority and Hong Kong Monetary Authority - Research Department
Downloads 220 (137,022)

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Interest rate risk, Residential mortgage rate, Banking stability

9.

An Assessment of the Long-Term Economic Impact of the New Regulatory Reform on Hong Kong

Hong Kong Monetary Authority Research Note No. 05/2010
Number of pages: 15 Posted: 27 Feb 2011
Hong Kong Monetary Authority - Research Department, Hong Kong Monetary Authority, Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads 177 (167,576)
Citation 4

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Basel, banking crisis, Hong Kong

10.

The Cost Efficiency of Commercial Banks in Hong Kong

Number of pages: 16 Posted: 28 Nov 2007
Hong Kong Monetary Authority, Hong Kong Monetary Authority, Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority
Downloads 177 (167,576)
Citation 2

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Hong Kong Banking, Cost efficiency, Stochastic frontier approach

11.

Testing for Collusion in the Hong Kong Banking Sector

Hong Kong Monetary Authority Working Paper Series
Number of pages: 20 Posted: 11 Sep 2007
Hong Kong Monetary Authority, Hong Kong Monetary Authority - Research Department, Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads 163 (180,036)
Citation 3

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Conjectural variation, price, Hong Kong banking, market structure

12.

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 (196,276)
Citation 2

Abstract:

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Sovereign Risk, Currency Options, Credit Default Swaps, Cointegration

13.

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 (305,861)
Citation 2

Abstract:

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

14.

Measuring Spillovers between the US and Emerging Markets

HKIMR Working Paper No.08/2016
Number of pages: 26 Posted: 20 Jun 2016
Tom Fong, Ka-Fai Li and Angela Sze
Hong Kong Monetary Authority, Hong Kong Monetary Authority and Independent
Downloads 73 (317,812)

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spillovers, contagion, systemic risk, financial integration, vector autoregression, emerging markets, monetary policy normalisation, sovereign bond markets.

15.

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
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 (322,682)

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systemic risk; probability density distributions; contagion

16.

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 (341,031)
Citation 7

Abstract:

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

17.

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
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 (355,097)
Citation 7

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stochastics process, target zone, bounded process

18.

Accounting for Sovereign Tail Risk in Emerging Economies: The Role of Global and Domestic Risk Factors

HKIMR Working Paper No. 24/2015
Number of pages: 30 Posted: 07 Dec 2015
Tom Fong, Ka-Fai Li and John Fu
Hong Kong Monetary Authority, Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads 53 (373,603)
Citation 1

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Sovereign risk; tail risk; CDS spread; emerging markets; US monetary policy

19.

Gauging the Safehavenness of Currencies

HKIMR Working Paper No.13/2013 (revised version: October 2016)
Number of pages: 63 Posted: 25 Sep 2013 Last Revised: 29 Mar 2017
Alfred Wong and Tom Fong
Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads 53 (373,603)

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Safe Haven Currency, Risk Reversal, Quantile Regression, Mixture Vector Autoregressive Models, Tail Risk, Crash Risk

20.

The Rise of Hong Kong's Corporate Bond Market: Drivers and Implications

BIS Paper No. 83i
Number of pages: 16 Posted: 24 Nov 2015
Hong Kong Monetary Authority, Hong Kong Monetary Authority, Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads 43 (407,935)
Citation 1

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Corporate bond market, Hong Kong SAR, financial intermediation, corporate leverage, bank-based financing, market-based financing

21.

Tail Risk Spillover in Asia Pacific Stock Market

Number of pages: 19 Posted: 24 Oct 2017
Tom Fong, Ka-Fai Li and Edmund Ho
Hong Kong Monetary Authority, Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads 35 (439,304)

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Spillovers; tail risk; vector autoregression; emerging markets

22.

How Might Sovereign Bond Yields in Asia Pacific React to US Monetary Normalisation Under Turbulent Market Conditions?

HKIMR Working Paper No.13/2015
Number of pages: 22 Posted: 12 May 2015
Tom Fong, Ceara Hui and Alfred Wong
Hong Kong Monetary Authority, Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads 34 (443,441)
Citation 1

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Sovereign Credit Risk, Tail Risk, Value-at-Risk, Quantile Regression, Vector Autoregression, Impulse Response Function, Principal Components

23.

Determinants of Mutual Fund Flows to Hong Kong Equities

HKIMR Working Paper No. 18/2017
Number of pages: 38 Posted: 15 Aug 2017
Tom Fong, Angela Sze and Edmund Ho
Hong Kong Monetary Authority, Independent and Hong Kong Monetary Authority
Downloads 33 (447,652)

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Mutual funds, portfolio rebalancing, event studies, panel data, quantile regressions, time series models

24.

Assessing the Interconnectedness between Cross-Border Shadow Banking Systems

HKIMR Working Paper No. 5/2018
Number of pages: 40 Posted: 20 Feb 2018
Tom Fong, Angela Sze and Edmund Ho
Hong Kong Monetary Authority, Independent and Hong Kong Monetary Authority
Downloads 29 (466,211)

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Shadow Banking, Financial Intermediation, Interconnectedness, Spillovers, Financial Stability Board

25.

Term Premium Spillovers from the US to International Markets

HKIMR Working Paper No. 07/2017
Number of pages: 22 Posted: 29 Mar 2017
Ka-Fai Li, Tom Fong and Edmund Ho
Hong Kong Monetary Authority, Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads 22 (503,642)

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Spillovers, term premium, financial integration, vector autoregression, emerging markets, affine term structure model, sovereign bond markets

26.

Predictability in Sovereign Bond Returns Using Technical Trading Rules: Do Developed and Emerging Markets Differ?

HKIMR Working Paper No. 03/2019
Number of pages: 39 Posted: 14 Jan 2019
Tom Fong and Gabriel Wu
Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads 18 (526,732)

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trading rule, return predictability, monetary cycle, machine learning, business cycle, spillover, market efficiency

27.

A Taste for Dim Sum: Analysing the Financial Diffusion in the New Offshore Renminbi Debt Securities Market

HKIMR Working Paper No.14/2018
Number of pages: 25 Posted: 14 Jun 2018
Hong Kong Monetary Authority, University of Nottingham and University of Glasgow - Adam Smith Business School
Downloads 17 (532,499)

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financial innovation, offshore bond markets, dim sum, Hong Kong

28.

Do Long-Term Institutional Investors Contribute to Financial Stability? – Evidence from Equity Investment in Hong Kong and International Markets

HKIMR Working Paper No.22/2018, September, 2018
Number of pages: 36 Posted: 10 Oct 2018
Tom Fong, Angela Sze and Edmund Ho
Hong Kong Monetary Authority, Independent and Hong Kong Monetary Authority
Downloads 11 (568,184)

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long-term investment, institutional investors, insurance companies, pension funds, portfolio rebalancing, pro-cyclicality, financial stability, panel data, time series analysis