Laurence Fung

Hong Kong Monetary Authority

Manager

55/F, Two International Finance Centre

8 Finance Street, Central

Hong Kong

Hong Kong

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 27,016

SSRN RANKINGS

Top 27,016

in Total Papers Downloads

1,700

CITATIONS
Rank 47,323

SSRN RANKINGS

Top 47,323

in Total Papers Citations

9

Scholarly Papers (12)

1.

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
Cho-Hoi Hui, Chi-Fai Lo, Vincent Yeung and Laurence Fung
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong, Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads 281 (107,429)

Abstract:

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

2.

Residential Mortgage Default Risk in Hong Kong

Number of pages: 27 Posted: 23 Jan 2009
Jim Wong, Laurence Fung, Tom Fong and Angela Sze
Hong Kong Monetary Authority, Hong Kong Monetary Authority, Hong Kong Monetary Authority and Independent
Downloads 244 (124,442)
Citation 1

Abstract:

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

3.

Hang Seng Index Futures Open Interest and its Relationship with the Cash Market

Number of pages: 20 Posted: 23 Jan 2009
Hongyi Chen, Laurence Fung and Jim Wong
affiliation not provided to SSRN, Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads 235 (129,254)

Abstract:

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Derivative markets, Index futures, Open interests, Speculative attacks

4.

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 220 (137,852)

Abstract:

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Interest rate risk, Residential mortgage rate, Banking stability

5.

Forecasting a Large Dimensional Covariance Matrix of a Portfolio of Different Asset Classes

Hong Kong Monetary Authority Working Paper No. 01/2009
Number of pages: 32 Posted: 05 Feb 2009
Lillie Lam, Laurence Fung and Ip-wing Yu
affiliation not provided to SSRN, Hong Kong Monetary Authority and affiliation not provided to SSRN
Downloads 157 (187,010)
Citation 1

Abstract:

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Volatility forecasting; Risk management, Portfolio management, Model evaluation

6.

Assessing the Integration of Asia's Equity and Bond Markets

BIS Paper No. 42
Number of pages: 37 Posted: 23 Jan 2009
Laurence Fung, Chi-Sang Tam and Ip-wing Yu
Hong Kong Monetary Authority, Hong Kong Monetary Authority and affiliation not provided to SSRN
Downloads 92 (278,121)
Citation 4

Abstract:

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Financial integration, Kalman filter, Cointegration, Dynamic correlation

7.

Exchange Rate Risk Premiums in Hong Kong Dollar: A Signal-Extraction Approach

Number of pages: 16 Posted: 23 Jan 2009
Ip-wing Yu, Laurence Fung and Hongyi Chen
affiliation not provided to SSRN, Hong Kong Monetary Authority and affiliation not provided to SSRN
Downloads 92 (278,121)

Abstract:

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Risk premiums, Forward exchange rate, Kalman filter

8.

A Study on the Transmission of Money Market Tensions in EMEAP Economies during the Credit Crisis of 2007-2008

Number of pages: 26 Posted: 01 Jun 2009
Laurence Fung and Ip-wing Yu
Hong Kong Monetary Authority and affiliation not provided to SSRN
Downloads 86 (290,283)
Citation 1

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Interbank stress, Vector autoregression, Regime-switching ARCH

9.

Return and Volatility Spillovers in Hong Kong Financial Markets

Number of pages: 11 Posted: 23 Jan 2009
Laurence Fung and Ip-wing Yu
Hong Kong Monetary Authority and affiliation not provided to SSRN
Downloads 80 (303,247)
Citation 1

Abstract:

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Bivariate GARCH model, Volatility Spillover

10.

A Structural Approach to Assessing the Credit Risk of Hong Kong's Corporate Sector

Number of pages: 15 Posted: 23 Jan 2009
Ip-wing Yu and Laurence Fung
affiliation not provided to SSRN and Hong Kong Monetary Authority
Downloads 73 (319,801)
Citation 1

Abstract:

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Credit risk, Default probability, Structural model

11.

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 72 (322,201)

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

12.

Dislocations in FX Swap and Money Markets in Hong Kong and Policy Actions during the Financial Crisis of 2008

Hong Kong Monetary Authority Working Paper No. 17/2009
Number of pages: 13 Posted: 18 Dec 2009
Laurence Fung and Ip-wing Yu
Hong Kong Monetary Authority and affiliation not provided to SSRN
Downloads 68 (332,525)
Citation 1

Abstract:

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FX swaps, Covered interest parity, Interbank stress, Exponential GARCH