Consulting Experience:

- Loan pricing and analytics

- Loan portfolio appraisal

- Fair Value Hedge Accounting

- Credit analysis and CECL

- Return attribution for recursive back testing

- Deposit account back testing

- Financial engineering inplementation

- Contingency funding plan modeling

- Manage Interest Rate Risk using Key rate durations

- Model validation: collateral monitoring level

- Model validation: derivatives and loan pricing

- Interest Rate Model validation

- Loan purchase profitability analysis


Consulting Expertise:

Extensive consulting experience

30 years of pioneering research in ALM modeling and model applications

Published over 80 academic papers

Consulting clients include AIG, OTS, Metlife and other major financial insitutions

Extensive proprietary data and models

Market data from THC Loan Central

Historical banking analytical data

Outstanding financial modeling expertise

Pioneered interest rate modeling(arbitrage free modeling)

Interest risk measures(key rate duration)

State-of-the-art models:option-based models and mortgage loan prepayment-default model co-developed with OFHRO(formerly FHFA)

Extensive API Application Library

Financial models, yield curve constructions, dynamic pricing updates, calibration procedures, future trading, equity options, structured sampling methodologies


 


THC Risk Officer - Login
55 Liberty Street, Suite 4B. New York, 10005, NY, USA    |    212-732-2878
Copyright © Thomas Ho Company 2001 - 2018