Thomas S. Y. Ho PhD

Thomas Ho

President
Thomas Ho Company Ltd
55 Liberty Street, 4B, New York, NY 10005-1003 USA
www.thomasho.com
P: 1-212-732-2878
F: 1-212-608-1233
Tom.Ho@ThomasHo.com

President of Thomas Ho Company, Ltd a New York based financial engineering company. Recipient of a federal government contract to develop a risk system to monitor over 800 banks, 2006. Consultant to major financial institutions and government agencies August 1999 till present. Prior to July 1999, he was an Executive Vice President of BARRA, Inc., where he headed the Research Group in New York City. He joined BARRA when the firm merged with Global Advanced Technology (GAT) in June 1997. When Tom founded GAT in 1987, he developed cutting edge technology for delivering innovative solutions to 250 major global institutional clients

Tom received his Ph.D. in Mathematics in 1978 from the University of Pennsylvania. He joined New York University's Stern School of Business as Professor of Finance from 1978 until 1990. He became a full professor in 1985.

Tom continues his extensive consulting and research in risk management, financial modeling, financial institutions' liability modeling and investment processes. He has published extensively.

Named one of the most prolific authors in finance based on a study by Cooley and Heck, (Journal of Finance, 2003). Author of the Ho-Lee model (the first arbitrage-free interest rate model) and key rate durations (the widely used interest rate risk measure).

Professional Activities

Associate Editor of Journal of Derivatives, Journal of Applied International Finance and Journal of Investment Management

Global Association of Risk Professionals, contributor for examinations

Elected member of the US Financial Economists Roundtable

Board member of the Finance Mathematics Program, Courant Institute of Mathematics, New York University

Selection committee member of the Financial Engineering Award

Publications

He co-authored four books and has published in major journals including Journal of Finance, Journal of Derivatives, Journal of Fixed Income, and Journal of Portfolio Management.

Books

Ho, Thomas S. Y. and Sang Bin Lee
Derivatives, Oxford University Press (forthcoming)

Ho, Thomas S. Y. , Sang Bin Lee and Leo Tilman
Financial Institution: A Risk Paradigm Oxford University Press (forthcoming)

Ho, Thomas S. Y. and Sang Bin Lee
Securities Valuation. Oxford University Press 2005

Ho, Thomas S. Y. and Sang Bin Lee
The Oxford Guide to Financial Modeling Oxford University Press 2004

Ho, Thomas S. Y.
Strategic Fixed Income Investment, Irwin Professional Publishing, 1990

Andrew S. Davidson, Thomas S. Y. Ho, Yung C. Lim
Collateralized Mortgage Obligations Probus 1994

Edited by Yakov Amihud, Thomas S. Y. Ho, Robert A. Schwartz
Market making and the Changing Structure of the Securities Industry BeardBooks 2003

Edited by Thomas S. Y. Ho
Fixed Income Portfolio Management Business One Irwin 1993

Edited by Thomas S. Y. Ho
Fixed Income Investment Probus Publishing 1994

Edited by Thomas S. Y. Ho
Frontiers in Fixed Income Management: The State-Of-the-Art in Credit Risk, Derivatives Valuation and Portfolio Strategies, Probus Publishing 1995

Edited by Thomas S. Y. Ho
Fixed Income Solutions Irwin Professional 1996

Selected Published Papers

Ho, Thomas S. Y. and Sang Bin Lee
" Valuation of Credit Contingent Claims:An Arbitrage-free Credit Model" Journal of Investment Management vol 7 No 5 2009

Ho, Thomas S. Y. Ho and Sang Bin Lee
"A Unified Credit and Interest Rate Arbitrage-Free Contingent Claim Model" Journal of Fixed-Income 2009

Ho, Thomas S. Y. and Blessing Mudavanhu
"Stochastic Movement of the Implied Volatility Function" Journal of Investment Management 4th quarter 2007

Ho, Thomas S. Y. and Sang Bin Lee
"Generalized Ho-Lee Model: A Multi-factor State-Time Dependent Implied Volatility Function Approach" Journal of Fixed Income 4th quarter 2007

Ho, Thomas S. Y.
"Managing Interest Rate Volatility Risk: Key Rate Vega" Journal of Fixed Income 4th quarter 2007

Dunsky, Robert and Thomas S. Y. Ho
"Valuing Fixed Rate Mortgage Loans with Default and Prepayment Options" Journal of Fixed Income vol 16 number 4 Spring 2007

Ho, Thomas S. Y.
"A Business Model Approach to Measure Risk" ERM International Symposium publication 2007

Ho, Thomas. S. Y. , Sang Bin Lee, Yoon Seok Choi
" Practical Considerations in Managing Variable Annuities" 2006. Awarded 2006 Stochastic Modeling Symposium Outstanding Paper Award

Ho, Thomas. S. Y. and Sang Bin Lee
"Strategic Investment Decisions and Capital Budgeting: A Business Model Method"

Ho, Thomas S. Y. and Blessing Mudavanhu
"Decomposing and Managing Multivariate Risks: the Case of Variable Annuities" Journal of Investment Management, vol 3, number 4. Fourth quarter 2005.

Ho, Thomas S. Y.
"Asset/Liability Management and Enterprise Risk Management of an Insurer" The World of Risk Management Editor H. Gifford Fong. World Scientific 2005.

Ho, Thomas S. Y. and Sang Bin Lee
"High Yield Bond Valuation: A Business Model Approach" Journal of Investment Management vol 2 number 2 second quarter 2004.

Ho, Thomas S. Y. and Sang Bin Lee
"A Multi-factor Interest Rate Model: Theory and Empirical Evidence" Journal of Fixed Income 2004.

Ho, Thomas S. Y.
Book Review on Financial Markets in Continuous Time. SIAM Review, a publication of the Society for Industrial and Applied Mathematics 2004.

Ho, Thomas S. Y. Ho
"A Financial Engineering Process for Insurer's Asset Liability Management" Security Analyst Journal Vol 38 no 10 Oct 2000.

Ho, Thomas S. Y.
"Risk Management of a Financial Institution" Japan Research Review Vol no 4 2000.

Ho, Thomas S.Y. , Allen Abrahamson and Mark C. Abbott
"Value at Risk of a Bank's Balance Sheet," International Journal of Theoretical and Applied Finance, Vol. 2, No. 1, January 1999.

Ho, Thomas S. Y.
"Market Valuation of Liability: Transfer Pricing, Profit Release and Credit Spread," Proceedings of Fair Value Insurance Business ed IrwinT. Vanderhoof and Edward L. Altman, Kluwer Academic Publishers 1999.

Ho, Thomas S.Y. , Michael Z.H. Chen and Fred H.T. Eng
"VAR Analytics: Portfolio Structure and Key Rate Convexities and VAR Betas," in Interest Rate Risk Measurement and Management, Sanjay K. Nawalkha and Donald Chambers (Eds.), l999.

Ho, Thomas S.Y co-author
"Moving to an Age of Enlightenment in Investment Management" Property-Casualty Insurance Annual: Issues and Comparative Performance Data. KcKinsey & Company 1999.


Ho, Thomas S, Y. "Key Rate Duration: A Measure of Interest Rate Risk Exposure," Interest Rate Risk Measurement arid Management, Edited by Sanjay Nawalkha and Donald R, Chambers, Institutional Investors, 1999.

Ho, Thomas S. Y.
"A VAR Model of an Investment Cycle: Attributing Returns and Performance," North American Actuarial Journal, April 1999.

Ho, Thomas S. Y.
"Allocate Capital and Measure Performances in a Financial Institution," Journal of Banking and Finance, 1998.

Ho, Thomas S. Y.
"Value-at-Risk by Jorian," (Book Review) International Journal of Theoretical and Applied Finance, April 1998.

Ho, Thomas S. Y.
"Derivatives for International Investing," ICFA Continuing Education: Derivatives in Portfolio Management, Association for Investment Management and Research, No. 3, 1998.

Ho, Thomas S. Y.
"Arbitrage-free MBS Canonical Decomposition," Advances in the valuation and Management of Mortgage-Backed Securities, Frank J. Fabozzi (Ed.), 1998.

Ho, Thomas S. Y.
"Using VAR to Manage a Bond Portfolio," Proceedings of International Workshop on Value-at-Risk, Korea institute of Finance, 1997.

Ho, Thomas S. Y.
"A VAR Model of the Operational Risk of an Investment Cycle," Proceedings of International Workshop on Value-at-Risk, Korea Institute of Finance, 1997.

Ho, Thomas S.Y. and David M. Pfeffer
"Convertible Bonds; Model, Value Attribution, and Analytics," Financial Analysts Journal, September/October 1996.

Ho, Thomas S.Y. and Michael Z.H. Chen
"Arbitrage-free Bond Canonical Decomposition," in Fixed Income Solutions: New Techniques for Managing Market Risk, edited by Ho, Irwin Professional Publishing, 1996.

Ho, Thomas S.Y.
"Quality-based Investment Cycle," The Journal of Portfolio Management, Volume 22 Number 1, Fall, 1995.

Ho, Thomas S.Y. , Alex Scheitlin and Kin Tam
"Total Return Approach to Performance Measurement," The Financial Dynamics of the Insurance Industry. Edited by Edward I. Altman and Irwin T. Vanderhoof, Irwin Professional Publishing 1995.

Ho, Thomas S.Y.
"Evolution Of Interest Rate Models; A Comparison," The Journal of Derivatives, Summer 1995.

Ho, Thomas S.Y.
"CMO Yield Attribution & Option Spread," Journal of Portfolio Management, Volume 19,Number 3, Spring 1993.

Ho, Thomas S.Y.
"Primitive Securities: Portfolio Building Blocks," Journal of Derivatives, Winter 1993.

Ho, Thomas S.Y.
"Managing Illiquid Bonds and Linear Path Space," The Journal or Fixed Income, Vol. 2 No. 1, June 1992.

Ho, Thomas S.Y. and Joseph J. Buff
"Total Return Strategies," Life Insurance, 1992.

Ho, Thomas S.Y: , Sang-Bin Lee and Kyu-Hyun Son
"Term Structure Estimation and Pricing of Callable Treasury Bonds," Review of Quantitative Finance and Accounting, July 1992.

Ho, Thomas S.Y.
Copeland and Weston "Book Review, Financial Theory and Corporate Policy," Journal of Banking and Finance, June 1991.

Ho, Thomas S.Y.
"Convertible Bond Pricing Using A Two Factor Model," in The Handbook of Derivative Investments: Investment Research, Analysis, and Portfolio Applications, edited by Ravi Dattatreya and Atsuo Konishi, Probus Publishing Company, Chicago, Illinois, 1991.

Ho, Thomas S.Y.
"Bond Options" in Option: Theory and Practice, edited by Stephen Figlewski and Marti G. Subranmanyam. Dow Jones Irwin, Spring 1990.

Ho, Thomas S.Y. and Sang-Bin Lee
"Interest Rate Options and Interest Rate Futures Options," Financial Review, 1990.

Ho, Thomas S.Y. and Sang-Bin Lee
"Pricing of Corporate Bond Provisions: Empirical Evidence," International Journal of Finance, 1990.

Ho, Thomas S.Y.
"Bond Pricing Framework-lntegrative Approach," in Investment Banking Handbook, edited by Robert Kuhn, Irwin Professional Publishing,
Spring 1990.

Ho, Thomas S.Y.
"Corporate Bond Pricing" in investment Banking Handbook, edited by Robert Kuhn, Irwin Professional Publishing, Spring 1990.

Ho, Thomas S.Y.
"Interest Rate Risk and Duration," in Investment Banking Handbook, edited by Robert Kuhn, Irwin Professional Publishing, Spring 1990.

Ho, Thomas S.Y. and Joel Hasbrouck "Order Arrival, Quote Behavior and Return Generating Process," Journal of Finance, December 1988.

Ho, Thomas S. Y. and Sang Bin Lee
"The Pricing of Corporate Bond Provisions under Interest Rate Risks" Research in Finance Edited by Andrew H. Chen vol 7, JAI Press Ltd. 1988.

Ho, Thomas S.Y. and Ron Michaely
"Informational Quality and Market Efficiency," Journal of Quantitative Analysis. December 1988.

Ho, Thomas S.Y. and Sang-Bin Lee
"Pricing of Corporate Bond Provisions: Empirical Evidence," Advances In Finance, December 1987.

Ho, Thomas S.Y. and Sang-Bin Lee
"Equilibrium Term Structure Movements and Pricing of Corporate Bonds," Journal of Finance, December 1986.

Ho, Thomas S.Y. and Sang-Bin Lee
"Term Structure Movements and Pricing Interest Rate Contingent Claims," The Journal of Finance, Vol. XLI, No. 5, December 1986.

Ho, Thomas S. Y.
"The value of a Sinking Fund Provision under Interest-Rate Risk" Recent Advances in Corporate Finance edited by Edward I. Altman and Marti G. Subrahmanyam Richard D. Irwin 1985.

Ho, Thomas S.Y, and Anthony Saunders
"Bank Behavior, the Structure of the Federal Funds Market and the Effects of Monetary Policy," Journal of Finance, June 1985.

Ho, Thomas S.Y. , Robert Schwartz and David Whitcomb
"The Impact of Market Design on Trading Behavior under Transaction Price Uncertainty," Journal of Finance. March 1985.

Ho, Thomas S.Y,
"Market Structure and Performance" in Market Making and the Changing Structure of the securities Industry, edited by Y Amihud, T Ho, and R. Schwartz. 1984.

Ho, Thomas S.Y.
"Intertemporal Commodity Futures Hedging and the Production Decisions," Journal of Finance, June 1984.

Ho, Thomas S.Y.
"Sinking Fund Provisions and Relative Pricing of Corporate Bonds" in Recent Advances in Corporate Finance: Implications for Corporate Financial Management, edited by E, Altman and M. Subrahmanyam, 1984.

Ho, Thomas S,Y. and Ronald Singer
"The Value of Corporate Debt with a Sinking Fund Provision"," Journal of Business. July, 1984.

Ho, Thomas S.Y. and Richard Macris
"Dealer Bid-Ask Quotes and Transaction Prices: An Empirical Study of Some AMEX Options," Journal of Finance. March 1984.

Ho Thomas S.Y. and Anthony Saunders
"Fixed Rate Loan Commitments, Takedown Risk and the Dynamics of Hedging with Futures," Journal of Financial and Quantitative Analysis December 1983.

Ho, Thomas S.Y. and Hans Stoll
"The Dynamics of Dealer Markets under Competition," Journal of Finance, September, 1983.

Ho, Thomas S.Y. and Ronald Singer
"Bond Indenture Provisions and the Risk of Corporate Debt," Journal of Financial Economics. December 1982.

Ho, Thomas S.Y, and Anthony Saunders
"Catastrophe Theory in Banking and Finance," New Quantitative Techniques for Economic Analysis, edited by Szego, Academic Press, 1982.

Ho, Thomas S.Y. and Ronald Singer
"Government Loan Guarantees for the Relief of Financial Distress," crisis in the Economic and Financial Structure, edited by P. Wachtel, 1982.

Ho ,Thomas S.Y. and Anthony Saunders
"Determinants of Bank interest Margin: Theory and Empirical Evidence," Journal of Financial and Quantitative Analysis, November 1981.

Ho, Thomas S. Y. and Hans Stoll
"Optimal Dealer Pricing under Transactions and Return Uncertainty," Journal of Financial Economics, No. 9. 1981.

Ho, Thomas S.Y, and Anthony Saunders
"A Catastrophe Model of Bank Failure," Journal of Finance December 1980.

Ho, Thomas S.Y. and Hans Stoll
"On Dealer Markets under Competition," Journal of Finance. May 1980
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