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
Our Research:
Published Academic Papers
THC ALM Insights
2017 THC white papers on current ALM issues
Weekly Posts
Financial Modeling(excel models)
Research Papers
THC research papers on applications of models and financial markets
Community Banking 2012-2018(video)
A documentation of the sea change in community banking 2012-2018
