Bo Young Chang

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Senior Analyst

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Bo Young Chang

Senior Analyst
Financial Markets
Market Risks and Vulnerabilities

Bank of Canada
234 Wellington Street
Ottawa, ON, K1A 0G9

Curriculum vitae

Latest

Equity Option-Implied Probability of Default and Equity Recovery Rate

Staff Working Paper 2016-58 Bo Young Chang, Greg Orosi
There is a close link between prices of equity options and the default probability of a firm. We show that in the presence of positive expected equity recovery, standard methods that assume zero equity recovery at default misestimate the option-implied default probability.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Asset Pricing, Financial markets, Market structure and pricing JEL Code(s): G, G1, G13, G3, G33

15 December 2016 Monitoring Shadow Banking in Canada: A Hybrid Approach

Financial System Review - December 2016 Bo Young Chang, Michael Januska, Gitanjali Kumar, André Usche

In Monitoring Shadow Banking in Canada: A Hybrid Approach, Bo Young Chang, Michael Januska, Gitanjali Kumar and André Usche discuss how lending that occurs outside the traditional banking system provides benefits to the economy but must be monitored carefully for potential financial sector vulnerabilities. They describe how the Bank defines and measures shadow banking and how it assesses vulnerabilities in the sector, using an approach that examines both markets and entities.
Content Type(s): Publications, Financial System Review Article Topic(s): Financial Institutions, Financial markets, Financial stability JEL Code(s): G, G0, G01, G2, G23

13 May 2014 Measuring Uncertainty in Monetary Policy Using Realized and Implied Volatility

Bank of Canada Review - Spring 2014 Bo Young Chang, Bruno Feunou
Uncertainty surrounding the Bank of Canada’s future policy rates is measured using implied volatility computed from interest rate options and realized volatility computed from intraday prices of interest rate futures. Both volatility measures show that uncertainty decreased following major policy actions taken by the Bank in response to the 2007–09 financial crisis. Findings also indicate that, on average, uncertainty decreases following the Bank’s policy rate announcements.
Content Type(s): Publications, Bank of Canada Review Article Topic(s): Uncertainty and monetary policy JEL Code(s): E, E5, E52, E58

Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility

Staff Working Paper 2013-37 Bo Young Chang, Bruno Feunou
We measure uncertainty surrounding the central bank’s future policy rates using implied volatility computed from interest rate option prices and realized volatility computed from intraday prices of interest rate futures.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Monetary and financial indicators, Uncertainty and monetary policy JEL Code(s): E, E4

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Other

Refereed Journals

  • “Option-Implied Measures of Equity Risk”
    (with Peter Christoffersen, Kris Jacobs, and Gregory Vainberg), Review of Finance, 16 (2), 385-428, 2012.
  • “Market Skewness Risk and the Cross-Section of Stock Returns”
    (with Peter Christoffersen and Kris Jacobs), Journal of Financial Economics, forthcoming.

Chapters in books

  • Chapter on Forecasting Using Option Prices, (with Peter Christoffersen and Kris Jacobs), 2012, Handbook of Economic Forecasting, Volume 2, edited by Graham Elliott and Allan Timmermann, in the Handbooks in Economics Series edited by Kenneth J. Arrow and Michael D. Intriligator, forthcoming.

Other Research

  • “Option-Implied Risk Around Mergers and Acquisitions”
    (with Gregory Vainberg), working paper
  • “Option-Implied Quantiles and the Expected Market Return”
    working paper

SSRN link

Archives

Bank Publications

Education

  • PhD in Finance, McGill University
  • MSc in Mathematical Finance, University of British Columbia
  • BSc in Mathematics

Research Interests

  • Asset Pricing
  • Option Pricing
  • Risk Management

RePEc

Bo Young Chang

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