This paper considers informed traders' trading strategy in a bear market. Known as stealth trading, informed traders use medium-size trades, which tend to contain more information than small and large trades, and have stronger impact on stock price movement. Using the transaction data provided...

Purpose – The purpose of this paper is to discuss issues relating to stress testing methods for credit risks in banks. Also, it suggests a solution to bank supervisors on evaluating stress test results. Design/methodology/approach – Discussion is based on cases analysis on a stress period of...

This is the first survey study in Hong Kong on the practice of investment management in terms of stock market forecasting and stock selection. Our respondents come from different sectors of the investment industry. Hong Kong has became one of the most important centres for fund management...

This paper adopts the backtesting criteria of the Basle Committee to compare the performance of a number of simple Value-at-Risk (VaR) models. These criteria provide a new standard on forecasting accuracy. Currently central banks in major money centres, under the auspices of the Basle Committee...

Albanese and et. al. (2003) and Avellaneda and Zhu (2001) develop the framework of Credit Barrier Model. They provide special solutions to the model in case of simple stochastic structure. The technical aspect of the model remains wide open for general stochastic structure that is crucial when...

Following the rationale of the KMV model, this study builds an empirical model to price corporate credit risk for listed corporations in Hong Kong. To mitigate the bias from accounting data, the model totally relies on market-based information, such as equity value, stock market index, implied...

This document summarizes how CTRISKS grades the credit risk of listed companies in Hong Kong and tests the power of risk discrimination and accuracy of PD calibration of CTRISKS grades. Statistical validation methods, including ROC Statistic, Gini Coefficient, maximum PD assuming zero or...

This paper studies empirically the determinants of Chinese commercial banks' net interest margins from 1996 to 2003. It applies an extension to the Ho and Saunders (1981) model to identify the elements affecting net interest margins. The results indicate that the determinants of net interest...