Chi-fai LO (Research Fellow)
The Chinese University of Hong Kong
(August - December 2006)
   
Research Topic:
  • 2006: Structural Models for Estimating the Probabilities of Default of Listed Companies
Working Papers:
  • Dynamics of Market Anomalies and Measurement Errors of Risk-free Interest Rates
  • Can Exchange Rate Dynamics in Krugman’s Target-zone Model be Directly Tested?
  • Pricing Corporate Bonds With Interest Rates Following Double Square-root Process
  • A Quasi-Bounded Target Zone Model – Theory and Application to Hong Kong Dollar
  • Discriminatory Power and Predictions of Defaults of Structural Credit Risk Models
  • Assessing Credit Risk of Companies with Mean-Reverting Leverage Ratios