Email: support@thomasho.com
Phone: 1-212-732-2878
Address: 55 Liberty Street, New York NY 10005

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

Experience

President of Thomas Ho Company Ltd (THC), a New York based financial engineering company. THC is a leading provider of asset and liability risk management for financial institutions.  

  • 1999-present Founder and President of Thomas Ho Company Ltd (THC)
    • THC a leading ALM vendor for mid-size banks and community banks
    • Participated in ALCO and Board meetings; assisted in loan transactions
    • Designed and innovated state-of-the-art ALM processes for banks
    • 2006-2011consulted for OTS/OCC and provided Net Portfolio Value risk reports to all OTS  regulated banks and onsite examiners analytical systems
    • Taught in OCC examiners’ training sessions
    • Assisted in bank mergers during the Financial Crisis
    • Developed prepayment-default models for residential mortgage loans with FHFA (formerly OFHEO) and analyzed FNMA and FHLMC balance sheets
    • Pioneered a methodology for fair value hedge accounting for complex structured bank products
  • 1999-2005 Consultant to major financial institutions including senior consultant at Enterprise Risk Management, AIG. As retained consultant to the enterprise risk management group, Tom reported to the CEO, Mr. Greenberg. He designed the global interest rate risk management system, ALM processes for the life companies, and risk monitoring processes for derivatives.
  • 1999-1997, he was an Executive Vice President of BARRA, Inc., He joined BARRA when GAT was merged with Global Advanced Technology (GAT).  He headed the Research Group in New York City. He integrated the fixed-income systems with the equity systems. BARRA was then sold to Morgan Stanley.
  • 1987-1997 Co-Founded GAT in 1987. He developed cutting edge technology for delivering innovative solutions to 250 major global institutional clients. Clients include Metropolitan Life, Prudential Life, New York Life and many others. Out of the top 10 largest life insurance companies then, nine of them were GAT clients. GAT formed an alliance with Tillinghast and the alliance was the first to introduce an economic value based asset and liability management process. GAT formed alliance with IPS-Sendero 1990-1997 providing stochastic interest rate simulations and structured product analysis for banks, and presenter at most Sendero’s clients conferences.
  • 1978 -1987 New York University's Stern School of Business as Professor of Finance. He became a full professor in 1985.

Sample Professional Accomplishments

  • Elected member of the US Financial Economists Roundtable
  • Elected selection committee member of the Financial Engineering Award
  • Named one of the most prolific authors in finance based on a study by Cooley and Heck, Journal of Finance (2003).
  •  The Ho-Lee model is the first arbitrage-free interest rate model. The paper is ranked 17th of most cited papers in 20 years by Risk Magazine.
  • Interviewed in Bloomberg magazine featured article.
  • Author of key rate durations (the widely used interest rate risk measure), estimated $14 asset under management using key rate durations. Institutions such as BlackRock, FNMA include key rate durations as their standard interest rate risk measures. Widely used in analytical systems which include Bloomberg Terminals.

Education

  • 1973-1978 Tom received his Ph.D. in Mathematics in from the University of Pennsylvania. Taught at Wharton School, University of Pennsylvania 1978. Recipient of one of the most prestigious US scholarships, the Thouron Scholarship, available to all British students
  • 1970-1973 BSc Mathematics, University of Warwick, England. Recipient of the University Prize for Mathematics

Professional Activities

Associate Editor of Journal of Derivatives, Journal of Investment Management
Global Association of Risk Professionals, contributor for examinations
Advisory Board member of the Finance Mathematics Program, Courant Institute of Mathematics, New York University

Publications

Books


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 and Lee, S. B. (2015) “Term Structure and Interest Rate Dynamics” CFA Study Session 14 reading 42
Ho, Thomas and Lee, S. B. (2015) “Equity Indices’ Returns: Contingent Claims on GDP Stochastic Movements” Journal of Investment Management 13(1), 2015
Ho, Thomas. and Lee, S. B. (2015 a). “Investment, Financial System, Real Output and Macro-Risk Management,” Journal of Investment Management 13(1), 2015.
Ho, Thomas. and Lee, S. B. (2015 b). “Impact of Credit Market on Dynamic Stochastic Real Aggregate Production,” Journal of Investment Management 13 (1), 2015.
Ho, Thomas, and Lee, S. B. (2015 c). “A Structural Macro-Financial Model and Macro-Financial Management,” Journal of Investment Management 13(2), 2015.
Ho, T., Palacios, M., and Stoll, H. (Fall 2012). “Regulatory Principles for the Financial System,” The Journal of Derivatives  20(1), 19-37.
Ho, Thomas S. Y., Miguel Palacios and Hans Stoll “Dynamic Financial System: Complexity, Fragility and Regulatory Principles”, Financial Market Institutions and Instruments (Vol 22: Issue 1) Stern School of Business, New York University 2013
Ho, Thomas S. Y., Miguel Palacios and Hans Stoll “Regulatory Principles for the Financial System”  Journal of Derivatives  2013
Ho, Thomas S. Y. and Sang Bin Lee "Business Models: Applications to Capital Budgeting, Equity Value, and Return Attribution" in the Handbook of Financial Econometrics and Statistics Springer 2013
Ho, Thomas S. Y. and Robert Dunsky  “ Valuing Fixed Rate Mortgage Loans with Default and Prepayment Options” Journal of Fixed Income 2007
Ho, Thomas S. Y. and Blessing Mudavanhu “ Interest Rate Model’s Implied Volatility Function Stochastic Movements”, Journal of Investment Management, 2005.
Ho, Thomas S. Y. “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. Forthcoming in SIAM Review, a publication of the Society for Industrial and Applied Mathematics 2004

Ho, Thomas S. Y. Ho
"A Financial Engineering Process for Insurance 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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