Thomas S. Y. Ho

Research Professor of Financial Markets

Subject Area(s): Finance

President of Thomas Ho Company Ltd (THC), a New York based financial engineering company. THC licenses portfolio and risk systems and provides professional services in risk management. THC is the sole provider of the risk system to Office of Thrift Supervision (OTS), the US federal bank regulator, supervising over 800 banks. THC is also retained as a retained consultant to OTS.

THC and Cantor Fitzgerald have formed a global alliance to provide risk and valuation systems globally. Consultant to major financial institutions including AIG from 1999-2005. As retained consultant to the enterprise risk management group, Tom reported to the CEO, Mr. Greenberg. He designed the global risk management system, ALM processes for the life companies, and risk monitoring processes for derivatives. Prior to July 1999, he was an Executive Vice President of BARRA, Inc., where he headed the Research Group in New York City. He integrated the fixed-income systems with the equity systems. 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. 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. Tom continues his extensive consulting and research in risk management, financial modeling, financial institutions' liability modeling and investment processes.

Tom has published extensively. 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. Author of key rate durations (the widely used interest rate risk measure). 2 chapters of the Oxford Guide to Financial Modeling and other papers included in the readings for the actuarial examinations.

Education:
Ph.D., Pennsylvania, 1978

Research Interest(s):
Finance, global risk management