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Asian Flu or Wall Street Virus? : Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia

Chan-Lau, Jorge A. - 2002

This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility spillovers to stock markets in the Asian region during three different periods in the last decade: the pre-Long Term Capital Management crisis period, the ""tech bubble"" period, and...

Persistent link: https://www.econbiz.de/10014399563

Scenario analysis with the DD-PD mapping approach : stock market shocks and U.S. corporate default risk

Chan-Lau, Jorge A. - 2021

This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping, which links individual firms' DD to their real world PD. Since changes in the DD depend on a handful of parameters, the mapping easily accommodates shocks arising from quantitative...

Persistent link: https://www.econbiz.de/10012613371

Testing the Informational Efficiency of OTC Optionson Emerging Market Currencies

Chan-Lau, Jorge A. - 2003

This paper analyzes the informational efficiency of OTC currency options on the Czech koruna and the Polish zloty correcting for the volatility risk premium and errors-in-variable problems, using state-of-the-art techniques (Chernov 2001). It finds that these markets are more efficient than...

Persistent link: https://www.econbiz.de/10014403635

Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets

Chan-Lau, Jorge A. - 2004

This paper examines equilibrium price relationships and price discovery between credit defaul swap (CDS), bond, and equity markets for emerging market sovereign issuers. Findings suggest that CDS and bond spreads converge despite various pressures that arise in the market. In most countries,...

Persistent link: https://www.econbiz.de/10014404117

Pension Funds and Emerging Markets

Chan-Lau, Jorge A. - 2004

This paper focuses on the investment behavior of pension funds in developed and emerging market countries. First, it analyzes the main determinants of the emerging market asset allocation of pension funds in developed countries. Second, it assesses how pension funds in emerging markets have...

Persistent link: https://www.econbiz.de/10014404155

An Option-Based Approach to Bank Vulnerabilities in Emerging Markets

Jobert, Arnaud - 2004

We measure bank vulnerability in emerging markets using the distance-to-default, a risk-neutral indicator based on Merton''s (1974) structural model of credit risk. The indicator is estimated using equity prices and balance-sheet data for 38 banks in 14 emerging market countries. Results show it...

Persistent link: https://www.econbiz.de/10014404081

Extreme Contagion in Equity Markets

Yao, James Y. - 2002

markets, to quantify both negative and positive equity returns contagion in mature and emerging equity markets during the past … decade. The results indicate (a) higher contagion for negative returns than for positive returns; (b) a secular increase in … contagion in Latin America not matched in other regions; (c) global increases in contagion following the 1998 financial crises …

Persistent link: https://www.econbiz.de/10014401663

Hang in there : stock market reactions to withdrawals of COVID-19 stimulus measures

Chan-Lau, Jorge A.; Zhao, Yunhui - 2020

The COVID-19 pandemic prompted unprecedented economic stimulus worldwide. We empirically examine the impact of a withdrawal of fiscal stimulus policies on the stock markets. After constructing a database of withdrawal events, we use event study analysis and cross-country regressions to assess...

Persistent link: https://www.econbiz.de/10012486103

Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance

Chan-Lau, Jorge A. - 2006

This paper reviews a number of different techniques for estimating default probabilities from the prices of publicly traded securities. These techniques are useful for assessing credit exposure, systemic risk, and stress testing financial systems. The choice of techniques was guided by their...

Persistent link: https://www.econbiz.de/10014400516

Regulatory Capital Charges for too-Connected-To-Fail Institutions : A Practical Proposal

Chan-Lau, Jorge A. - 2010

The recent financial crisis has highlighted once more that interconnectedness in the financial system is a major source of systemic risk. I suggest a practical way to levy regulatory capital charges based on the degree of interconnectedness among financial institutions. Namely, the charges are...

Persistent link: https://www.econbiz.de/10014402877