Chi-Fai Lo - Central Bank Research Hub

Papers by year: All | 2010 | 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

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

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

Valuing Foreign Currency Options with a Mean-Reverting Process: A Study of Hong Kong Dollar

Hong Kong Monetary Authority Working Papers [View] (Paper: WP07_08, 22.06.2007)

JEL: F13, G13

Papers by year: All | 2010 | 2008 | 2007