Bo Young Chang

Senior Analyst


Bo Young Chang

Senior Analyst
Financial Markets
Market Risks and Vulnerabilities

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

Curriculum vitae


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.

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

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.

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

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.

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.

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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


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

Research Interests

  • Asset Pricing
  • Option Pricing
  • Risk Management


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