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Effect of asset value correlation on credit-linked note values

Hui, Cho H.; Lo, C. F. - In: International journal of theoretical and applied finance 5 (2002) 5, pp. 455-478

Persistent link: https://www.econbiz.de/10001687127

Valuation model of defaultable bond values in emerging markets

Hui, Cho H.; Lo, C. F. - In: Asia-Pacific financial markets 9 (2002) 1, pp. 45-60

Persistent link: https://www.econbiz.de/10001722350

Discriminatory power and predictions of defaults of structural credit risk models

Wong, Tak-chen; Hui, Cho H.; Lo, C. F. - In: The journal of risk model validation 3 (2009/10) 4, pp. 39-60

Persistent link: https://www.econbiz.de/10009262129

Are corporates' target leverage ratios time-dependent?

Hui, Cho H.; Lo, C. F.; Huang, M. X. - In: International review of financial analysis 15 (2006) 3, pp. 220-236

Persistent link: https://www.econbiz.de/10003348579

Assessing credit risk of companies with mean-reverting leverage ratios

Lo, C. F.; Wong, T. C.; Hui, Cho H.; Huang, M. X. - 2008

Persistent link: https://www.econbiz.de/10003770527

Discriminatory power and predictions of defaults of structural credit risk models

Wong, T. C.; Hui, Cho H.; Lo, C. F. - 2009

Persistent link: https://www.econbiz.de/10003975235

Discriminatory Power and Predictions of Defaults of Structural Credit Risk Models

Wong, T. C. - 2010

This paper studies the discriminatory power and calibration quality of the structural credit risk models under the 'exogenous default boundary' approach including those proposed by Longstaff and Schwartz (1995) and Collin-Dufresne and Goldstein (2001), and 'endogenous default boundary' approach...

Persistent link: https://www.econbiz.de/10013150869

Does using time-varying target leverage ratios in structural credit risk models improve their accuracy?

Hui, Cho H.; Wong, Tak-chuen; Lo, Chi-fai; Ming Xi Huang - In: The journal of risk model validation 6 (2012) 3, pp. 27-49

Persistent link: https://www.econbiz.de/10009658577

Option-implied correlation between iTraxx Europe Financials and Non-Financials Indexes : a measure of spillover effect in European debt crisis

Hui, Cho H.; Lo, Chi-fai; Lau, Chun-sing - In: Journal of banking & finance 37 (2013) 9, pp. 3694-3703

Persistent link: https://www.econbiz.de/10010126296

Price cointegration between sovereign CDS and currency option markets in the financial crises of 2007-2013

Hui, Cho H.; Fong, Tom - In: International review of economics & finance : IREF 40 (2015), pp. 174-190

Persistent link: https://www.econbiz.de/10011573573