Selected Papers

Term Structure and Interest Rate Dynamics
  • Author: Ho, Thomas and Lee, S. B. (2015)
  • Journal: CFA Study Session 14 reading 42
Equity Indices' Returns: Contingent Claims on GDP Stochastic Movements
  • Author: Ho, Thomas and Lee, S. B. (2015)
  • Journal: Journal of Investment Management 13(1), forthcoming
Investment, Financial System, Real Output and Macro-Risk Management
  • Author: Ho, Thomas. and Lee, S. B. (2015 a)
  • Journal: Journal of Investment Management 13(1), forthcoming.
Impact of Credit Market on Dynamic Stochastic Real Aggregate Production
  • Author: Ho, Thomas. and Lee, S. B. (2015 b)
  • Journal: Journal of Investment Management 13 (1), forthcoming.
A Structural Macro-Financial Model and Macro-Financial Management
  • Author: Ho, Thomas, and Lee, S. B. (2015 c)
  • Journal: Journal of Investment Management 13(2), forthcoming.
Regulatory Principles for the Financial System
  • Author: Ho, T., Palacios, M., and Stoll, H. (Fall 2012)
  • Journal: The Journal of Derivatives 20(1), 19-37.
Dynamic Financial System: Complexity, Fragility and Regulatory Principles
  • Author: Ho, Thomas S. Y., Miguel Palacios and Hans Stoll
  • Journal: Financial Market Institutions and Instruments (Vol 22: Issue 1) Stern School of Business, New York University 2013
Regulatory Principles for the Financial System
  • Author: Ho, Thomas S. Y., Miguel Palacios and Hans Stoll
  • Journal: Journal of Derivatives 2013
Business Models: Applications to Capital Budgeting, Equity Value, and Return Attribution
  • Author: Ho, Thomas S. Y. and Sang Bin Lee
  • Journal: Handbook of Financial Econometrics and Statistics Springer 2013
Valuing Fixed Rate Mortgage Loans with Default and Prepayment Options
  • Author: Ho, Thomas S. Y. and Robert Dunsky
  • Journal: Journal of Fixed Income 2007
Interest Rate Model's Implied Volatility Function Stochastic Movements
  • Author: Ho, Thomas S. Y. and Blessing Mudavanhu
  • Journal: Journal of Investment Management, 2005.
Decomposing and Managing Multivariate Risks: the Case of Variable Annuities
  • Author: Ho, Thomas S. Y.
  • Journal: Journal of Investment Management, vol 3, number 4. Fourth quarter 2005
Asset/Liability Management and Enterprise Risk Management of an Insurer
  • Author: Ho, Thomas S. Y.
  • Journal: The World of Risk Management Editor H. Gifford Fong. World Scientific 2005
High Yield Bond Valuation: A Business Model Approach
  • Author: Ho, Thomas S. Y. and Sang Bin Lee
  • Journal: Journal of Investment Management vol 2 number 2 second quarter 2004
A Multi-factor Interest Rate Model: Theory and Empirical Evidence
  • Author: Ho, Thomas S. Y. and Sang Bin Lee
  • Journal: Journal of Fixed Income 2004
Book Review on Financial Markets in Continuous Time
  • Author: Ho, Thomas S. Y.
  • Journal: Forthcoming in SIAM Review, a publication of the Society for Industrial and Applied Mathematics 2004
A Financial Engineering Process for Insurance Asset Liability Management
  • Author: Ho, Thomas S. Y. Ho
  • Journal: Security Analyst Journal vol 38 no 10 Oct 2000
Risk Management of a Financial Institution
  • Author: Ho, Thomas S. Y.
  • Journal: Japan Research Review vol no 4 2000
Value at Risk of a Bank's Balance Sheet
  • Author: Ho, Thomas S.Y. , Allen Abrahamson and Mark C. Abbott
  • Journal: International Journal of Theoretical and Applied Finance, Vol. 2, No. 1, January 1999
Market Valuation of Liability: Transfer Pricing, Profit Release and Credit Spread
  • Author: Ho, Thomas S. Y.
  • Journal: Proceedings of Fair Value Insurance Business ed IrwinT. Vanderhoof and Edward L. Altman, Kluwer Academic Publishers 1999
VAR Analytics: Portfolio Structure and Key Rate Convexities and VAR Betas
  • Author: Ho, Thomas S.Y. , Michael Z.H. Chen and Fred H.T. Eng
  • Journal: Interest Rate Risk Measurement and Management, Sanjay K. Nawalkha and Donald Chambers (Eds.), l999.
Moving to an Age of Enlightenment in Investment Management
  • Author: Ho, Thomas S.Y co-author
  • Journal: Property-Casualty Insurance Annual: Issues and Comparative Performance Data. KcKinsey & Company 1999
Key Rate Duration: A Measure of Interest Rate Risk Exposure
  • Author: Ho, Thomas S, Y.
  • Journal: Interest Rate Risk Measurement arid Management, Edited by Sanjay Nawalkha and Donald R, Chambers, Institutional Investors, 1999.
A VAR Model of an Investment Cycle: Attributing Returns and Performance
  • Author: Ho, Thomas S. Y.
  • Journal: North American Actuarial Journal, April 1999
Allocate Capital and Measure Performances in a Financial Institution
  • Author: Ho, Thomas S. Y.
  • Journal: Journal of Banking and Finance, 1998
Value-at-Risk by Jorian
  • Author: Ho, Thomas S. Y.
  • Journal: (Book Review) International Journal of Theoretical and Applied Finance, April 1998.
Derivatives for International Investing
  • Author: Ho, Thomas S. Y.
  • Journal: ICFA Continuing Education: Derivatives in Portfolio Management, Association for Investment Management and Research, No. 3, 1998.
Arbitrage-free MBS Canonical Decomposition
  • Author: Ho, Thomas S. Y.
  • Journal: Advances in the valuation and Management of Mortgage-Backed Securities, Frank J. Fabozzi (Ed.), 1998
Using VAR to Manage a Bond Portfolio
  • Author: Ho, Thomas S. Y.
  • Journal: Proceedings of International Workshop on Value-at-Risk, Korea institute of Finance, 1997
A VAR Model of the Operational Risk of an Investment Cycle
  • Author: Ho, Thomas S. Y.
  • Journal: Proceedings of International Workshop on Value-at-Risk, Korea Institute of Finance, 1997
Convertible Bonds; Model, Value Attribution, and Analytics
  • Author: Ho, Thomas S.Y. and David M. Pfeffer
  • Journal: Financial Analysts Journal, September/October 1996
Arbitrage-free Bond Canonical Decomposition
  • Author: Ho, Thomas S.Y. and Michael Z.H. Chen
  • Journal: Fixed Income Solutions: New Techniques for Managing Market Risk, edited by Ho, Irwin Professional Publishing, 1996
Quality-based Investment Cycle
  • Author: Ho, Thomas S.Y.
  • Journal: The Journal of Portfolio Management, Volume 22 Number 1, Fall, 1995
Total Return Approach to Performance Measurement
  • Author: Ho, Thomas S.Y. , Alex Scheitlin and Kin Tam
  • Journal: The Financial Dynamics of the Insurance Industry. Edited by Edward I. Altman and Irwin T. Vanderhoof, Irwin Professional Publishing 1995
Evolution Of Interest Rate Models; A Comparison
  • Author: Ho, Thomas S.Y.
  • Journal: The Journal of Derivatives, Summer 1995
CMO Yield Attribution & Option Spread
  • Author: Ho, Thomas S.Y.
  • Journal: Journal of Portfolio Management, Volume 19,Number 3, Spring 1993
Primitive Securities: Portfolio Building Blocks
  • Author: Ho, Thomas S.Y.
  • Journal: Journal of Derivatives, Winter 1993
Managing Illiquid Bonds and Linear Path Space
  • Author: Ho, Thomas S.Y.
  • Journal: The Journal or Fixed Income, Vol. 2 No. 1, June 1992.
Total Return Strategies
  • Author: Ho, Thomas S.Y. and Joseph J. Buff
  • Journal: Life Insurance, 1992
Term Structure Estimation and Pricing of Callable Treasury Bonds
  • Author: Ho, Thomas S.Y , Sang-Bin Lee and Kyu-Hyun Son
  • Journal: Review of Quantitative Finance and Accounting, July 1992
Book Review, Financial Theory and Corporate Policy
  • Author: Ho, Thomas S.Y. Copeland and Weston
  • Journal: Journal of Banking and Finance, June 1991
Convertible Bond Pricing Using A Two Factor Model
  • Author: Ho, Thomas S.Y.
  • Journal: Handbook of Derivative Investments: Investment Research, Analysis, and Portfolio Applications, edited by Ravi Dattatreya and Atsuo Konishi, Probus Publishing Company, Chicago, Illinois, 1991
Bond Options in Option: Theory and Practice
  • Author: Ho, Thomas S.Y.
  • Journal: edited by Stephen Figlewski and Marti G. Subranmanyam. Dow Jones Irwin, Spring 1990
Interest Rate Options and Interest Rate Futures Options
  • Author: Ho, Thomas S.Y. and Sang-Bin Lee
  • Journal: Financial Review, 1990
Pricing of Corporate Bond Provisions: Empirical Evidence
  • Author: Ho, Thomas S.Y. and Sang-Bin Lee
  • Journal: International Journal of Finance, 1990
Bond Pricing Framework-lntegrative Approach
  • Author: Ho, Thomas S.Y.
  • Journal: Investment Banking Handbook, edited by Robert Kuhn, Irwin Professional Publishing, Spring 1990
Corporate Bond Pricing
  • Author: Ho, Thomas S.Y.
  • Journal: investment Banking Handbook, edited by Robert Kuhn, Irwin Professional Publishing, Spring 1990
Interest Rate Risk and Duration
  • Author: Ho, Thomas S.Y.
  • Journal: Investment Banking Handbook, edited by Robert Kuhn, Irwin Professional Publishing, Spring 1990
Order Arrival, Quote Behavior and Return Generating Process
  • Author: Ho, Thomas S.Y. and Joel Hasbrouck
  • Journal: Journal of Finance, December 1988
The Pricing of Corporate Bond Provisions under Interest Rate Risks
  • Author: Ho, Thomas S. Y. and Sang Bin Lee
  • Journal: Research in Finance Edited by Andrew H. Chen vol 7, JAI Press Ltd. 1988
Informational Quality and Market Efficiency
  • Author: Ho, Thomas S.Y. and Ron Michaely
  • Journal: Journal of Quantitative Analysis. December 1988
Pricing of Corporate Bond Provisions: Empirical Evidence
  • Author: Ho, Thomas S.Y. and Sang-Bin Lee
  • Journal: Advances In Finance, December 1987
Equilibrium Term Structure Movements and Pricing of Corporate Bonds
  • Author: Ho, Thomas S.Y. and Sang-Bin Lee
  • Journal: Journal of Finance, December 1986.
Term Structure Movements and Pricing Interest Rate Contingent Claims
  • Author: Ho, Thomas S.Y. and Sang-Bin Lee
  • Journal: The Journal of Finance, Vol. XLI, No. 5, December 1986
The value of a Sinking Fund Provision under Interest-Rate Risk
  • Author: Ho, Thomas S. Y.
  • Journal: Recent Advances in Corporate Finance edited by Edward I. Altman and Marti G. Subrahmanyam Richard D. Irwin 1985
Bank Behavior, the Structure of the Federal Funds Market and the Effects of Monetary Policy
  • Author: Ho, Thomas S.Y, and Anthony Saunders
  • Journal: Journal of Finance, June 1985
The Impact of Market Design on Trading Behavior under Transaction Price Uncertainty
  • Author: Ho, Thomas S.Y. , Robert Schwartz and David Whitcomb
  • Journal: Journal of Finance. March 1985.
Market Structure and Performance
  • Author: Ho, Thomas S.Y.
  • Journal: Market Making and the Changing Structure of the securities Industry, edited by Y Amihud, T Ho, and R. Schwartz. 1984
Intertemporal Commodity Futures Hedging and the Production Decisions
  • Author: Ho, Thomas S.Y.
  • Journal: Journal of Finance, June 1984
Sinking Fund Provisions and Relative Pricing of Corporate Bonds
  • Author: Ho, Thomas S.Y.
  • Journal: Recent Advances in Corporate Finance: Implications for Corporate Financial Management, edited by E, Altman and M. Subrahmanyam, 1984
The Value of Corporate Debt with a Sinking Fund Provision
  • Author: Ho, Thomas S,Y. and Ronald Singer
  • Journal: Journal of Business. July, 1984
Dealer Bid-Ask Quotes and Transaction Prices: An Empirical Study of Some AMEX Options
  • Author: Ho, Thomas S.Y. and Richard Macris
  • Journal: Journal of Finance. March 1984
Fixed Rate Loan Commitments, Takedown Risk and the Dynamics of Hedging with Futures
  • Author: Ho Thomas S.Y. and Anthony Saunders
  • Journal: Journal of Financial and Quantitative Analysis December 1983
The Dynamics of Dealer Markets under Competition
  • Author: Ho, Thomas S.Y. and Hans Stoll
  • Journal: Journal of Finance, September, 1983.
Bond Indenture Provisions and the Risk of Corporate Debt
  • Author: Ho, Thomas S.Y. and Ronald Singer
  • Journal: Journal of Financial Economics. December 1982
Catastrophe Theory in Banking and Finance
  • Author: Ho, Thomas S.Y, and Anthony Saunders
  • Journal: New Quantitative Techniques for Economic Analysis, edited by Szego, Academic Press, 1982
Government Loan Guarantees for the Relief of Financial Distress
  • Author: Ho, Thomas S.Y. and Ronald Singer
  • Journal: crisis in the Economic and Financial Structure, edited by P. Wachtel, 1982
Determinants of Bank interest Margin: Theory and Empirical Evidence
  • Author: Ho ,Thomas S.Y. and Anthony Saunders
  • Journal: Journal of Financial and Quantitative Analysis, November 1981
Optimal Dealer Pricing under Transactions and Return Uncertainty
  • Author: Ho, Thomas S. Y. and Hans Stoll
  • Journal: Journal of Financial Economics, No. 9. 1981
A Catastrophe Model of Bank Failure
  • Author: Ho, Thomas S.Y, and Anthony Saunders
  • Journal: Journal of Finance, December 1980
On Dealer Markets under Competition
  • Author: Ho, Thomas S.Y. and Hans Stoll
  • Journal: Journal of Finance, May 1980
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