Details about Bo Young Chang

Access statistics for papers by Bo Young Chang.

Last updated 2023-02-24. Update your information in the RePEc Author Service.

Short-id: pch1425

Working Papers

2025

1. Soumettre les contreparties centrales à des simulations de crise pour établir leurs plans de résolution
   Staff Analytical Notes, Bank of Canada
2. Stress testing central counterparties for resolution planning
   Staff Analytical Notes, Bank of Canada

2023

3. Estimating the Slope of the Demand Function at Auctions for Government of Canada Bonds
   Discussion Papers, Bank of Canada

2020

4. A Simple Method for Extracting the Probability of Default from American Put Option Prices
   Staff Working Papers, Bank of Canada View citations (1)

2018

5. The Cost of the Government Bond Buyback and Switch Programs in Canada
   Staff Analytical Notes, Bank of Canada

2016

6. Equity Option-Implied Probability of Default and Equity Recovery Rate
   Staff Working Papers, Bank of Canada View citations (2)

2013

7. Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility
   Staff Working Papers, Bank of Canada View citations (19)

2011

8. Forecasting with Option Implied Information
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (26)

2009

9. Option-Implied Measures of Equity Risk
   CIRANO Working Papers, CIRANO View citations (30)
   See also Journal Article Option-Implied Measures of Equity Risk, Review of Finance, European Finance Association (2011) View citations (11) (2011)

Journal Articles

2014

1. Measuring Uncertainty in Monetary Policy Using Realized and Implied Volatility
   Bank of Canada Review, 2014, 2014, (Spring), 32-41 View citations (7)

2013

2. Market skewness risk and the cross section of stock returns
   Journal of Financial Economics, 2013, 107, (1), 46-68 View citations (183)

2011

3. Option-Implied Measures of Equity Risk
   Review of Finance, 2011, 16, (2), 385-428 View citations (11)
   See also Working Paper Option-Implied Measures of Equity Risk, CIRANO Working Papers (2009) View citations (30) (2009)