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Hung, Mao-Wei; Lee, Cheng F.; So, Leh-chyan - In: Advances in quantitative analysis of finance and … 2 (2005), pp. 129-151

Persistent link: https://www.econbiz.de/10003104081

Application of copula-GARCH to estimate VaR of a portfolio with credit default swaps

Huang, Jhe-Jheng; So, Leh-Chyan - In: Journal of mathematical finance 8 (2018) 2, pp. 382-407

Persistent link: https://www.econbiz.de/10011874816

New insights from the Bitcoin futures market

Chen, Yimiao; So, Leh-Chyan - In: Modern economy 11 (2020) 8, pp. 1463-1475

Persistent link: https://www.econbiz.de/10012506265

Determinants of futures contract success : empirical examinations for the Asian futures markets

Hung, Mao-Wei; Lin, Bing-huei; Huang, Yu chuan; Chou, … - In: International review of economics & finance : IREF 20 (2011) 3, pp. 452-458

Persistent link: https://www.econbiz.de/10009304039

Cross-market hedging strategies for credit swaps under a Markov regime-switching framework

Chang, Jow-ran; Hung, Mao-Wei; Tsai, Feng-tse - In: The journal of fixed income 22 (2012) 2, pp. 44-56

Persistent link: https://www.econbiz.de/10009670717

Cross-Market Hedging Strategies for Credit Default Swaps Under a Markov Regime-Switching Framework

Chang, Jow-Ran - 2015

This paper aims to explore strategies used for hedging credit default swap (CDS) risks. By analyzing the AIG financial crisis in 2008, we understand the nature of CDS and why AIG incurred huge losses. In addition, we investigate other financial products that can be used to hedge CDS risks....

Persistent link: https://www.econbiz.de/10013016687

The importance of stock liquidity on option pricing

Feng, Shih-Ping; Hung, Mao-Wei; Wang, Yaw-Huei - In: International review of economics & finance : IREF 43 (2016), pp. 457-467

Persistent link: https://www.econbiz.de/10011625856

The impact of news articles and corporate disclosure on credit risk valuation

Tsai, Feng-Tse; Lu, Hsin-Min; Hung, Mao-Wei - In: Journal of banking & finance 68 (2016), pp. 100-116

Persistent link: https://www.econbiz.de/10011634804