Cho-Hoi Hui - Central Bank Research Hub

Papers by year: All | 2010 | 2009 | 2008 | 2007

Title Other author(s)

Using Interest Rate Derivative Prices to Estimate LIBOR-OIS Spread Dynamics and Systemic Funding Liquidity Shock Probabilities

Hong Kong Monetary Authority Working Papers [View] (Paper: WP10_04, 28.06.2010)

JEL: F31, G13

Funding Liquidity Risk and Deviations from Interest-Rate Parity During the Financial Crisis of 2007-2009

Hong Kong Monetary Authority Working Papers [View] (Paper: WP09_13, 07.08.2009)

JEL: F31, F32, F33

Liquidity, Risk Appetite and Exchange Rate Movements During the Financial Crisis of 2007-2009

Hong Kong Monetary Authority Working Papers [View] (Paper: WP09_11, 07.07.2009)

JEL: F31, F32, F33

A Liquidity Risk Stress-Testing Framework with Interaction between Market and Credit Risks

Hong Kong Monetary Authority Working Papers [View] (Paper: WP09_06, 31.03.2009)

JEL: C60, G13, G28

What Drives Hong Kong Dollar Swap Spreads: Credit or Liquidity?

Hong Kong Monetary Authority Working Papers [View] (Paper: WP08_10, 25.09.2008)

A Note on Estimating Realignment Probabilities -- A First-Passage-Time Approach

Hong Kong Monetary Authority Working Papers [View] (Paper: WP08_09, 02.07.2008)

JEL: F31, G13

Market Expectation of Appreciation of the Renminbi

Hong Kong Monetary Authority Working Papers [View] (Paper: WP08_03, 16.04.2008)

JEL: F31, G13

Is the Hong Kong Dollar Exchange Rate "Bounded" in the Convertibility Zone?

Hong Kong Monetary Authority Working Papers [View] (Paper: WP07_13, 05.10.2007)

JEL: F31, G13

Ratings Versus Market-Based Measures of Default Risk of East Asian Banks

Hong Kong Monetary Authority Working Papers [View] (Paper: WP07_12, 25.09.2007)

JEL: G13, G14, G21, G32

Papers by year: All | 2010 | 2009 | 2008 | 2007