OK, short answer:
Most authorities will allow you to convert a foreign license to theirs. The only problem is the hoops they require you to jump through on the way. Hong Kong is the "most demanding" I have come across. An English captain with both English and American licenses, many thousands of hours total time and a couple of thousand hours on type still had to do:
- 4-5 ATPL exams
- a sim check (the same check in the same sim by the same people as for the recurrent check he'd done a few months before for another license)
- an English language proficiency check - administered by a Chinese lady!
- 3-4 take offs and landings with an examiner in the plane
It took six months.
So although it is possible to convert licenses it can be very time consuming not to mention financial crucifixion!
Unless you have a cunning plan up your sleeve (and there are some exceptions) I'd suggest that you train under whichever authority you wish to fly for real.