- 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
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
Market data from THC Loan Central
Historical banking analytical data
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)
Financial models, yield curve constructions, dynamic pricing updates, calibration procedures, future trading, equity options, structured sampling methodologies
2017 THC white papers on current ALM issues
THC research papers on applications of models and financial markets
A documentation of the sea change in community banking 2012-2018