Publication List Continued
Publication List
Thomas S. Y. Ho, Ph.D.
Executive Vice President
BARRA, Inc.
Books
Frontiers in Fixed Income Management: The State of The Art in Credit Risk, Derivatives Valuation
And Portfolio Strategies
Thomas S.Y. Ho, editor, Irwin Professional Publishing, 1995
Fixed-Income Investment: Recent Research
Thomas S.Y. Ho, editor, Irwin Professional Publishing, February 1994
Collateralized Mortgage Obligations: Analysis, Valuation and Portfolio Strategy
Andrew S. Davidson, Thomas S.Y. Ho, and Yung C. Lim, editors, Probus Publishing, 1994
Fixed Income Portfolio Management: Issues and Solutions
Thomas S.Y. Ho, editor, Irwin Professional Publishing, 1993
Strategic Fixed Income Investment
Thomas S.Y. Ho, Irwin Professional Publishing, 1990
Market Making and the Changing Structure of the Securities Industry, edited by Ho, Y. Amihud and R. Schwartz, 1984
Articles
“Market Valuation of Liability: Transfer Pricing, Profit Release and Credit Spread”
Thomas S.Y. Ho, submitted to Proceedings of Fair Value of Insurance Business Conference in early 1999
“A VaR Model of an Investment Cycle: Attribution Returns and Performance”
Thomas S.Y. Ho, North American Actuarial Journal, publication forthcoming, Jan.1999
“Arbitrage-Free MBS Canonical Decomposition”
Thomas S.Y. Ho, Advances in the Valuation and Management of Mortgage-Backed Securities, Edited by Frank J. Fabozzi, 1998
“Allocate Capital and Measure Performances in a Financial Institution”
Thomas S.Y. Ho, research paper, 1998
“An Integrated Approach to Managing Risk and Performance”
Thomas S.Y. Ho, Marco Stalder, and Bernhard Straub, research paper, 1998
“Value at Risk of a Bank’s Balance Sheet”
Thomas S.Y. Ho and Allen Abrahamson, Mark C. Abbott, publication forthcoming in International Journal of Theoretical and Applied Finance, 1998, and Proceedings of International Workshop on Value-at-Risk, Korea Institute of Finance, 1997, pp. 365-387
“Value-at-Risk” by Jorian (book review)
Thomas S.Y. Ho, International Journal of Theoretical and Applied Finance, Volume 1, Number 2, April 1998
“Derivative for International Investing”
Thomas S.Y. Ho, ICFA Continuing Education: Derivatives in Portfolio Management, Association for Investment Management and Research, No. 3, 1998
“Using VaR to Manage a Bond Portfolio”
Thomas S.Y. Ho, Proceedings of International Workshop on Value-at-Risk, Korea Institute of Finance, 1997, pp. 295-306
“A VaR Model of the Operational Risk of an Investment Cycle”
Thomas S.Y. Ho, Proceedings of International Workshop on Value-at-Risk, Korea Institute of Finance, 1997, pp. 333-344
“Arbitrage-free Bond Canonical Decomposition”
Thomas S.Y. Ho and Michael Z.H. Chen, Fixed Income Solutions: New Techniques for Managing Market Risks, Irwin Publishing, 1996.
“Convertible Bonds: Model, Value Attribution, and Analytics”
Thomas S.Y. Ho and David M. Pfeffer, Financial Analysts Journal, September/October 1996
“VAR Analytics: Portfolio Structure and Key Rate Convexities and VAR Betas”
Thomas S.Y. Ho, Michael Z.H. Chen and Fred H.T. Eng, The Journal of Portfolio Management Volume 23, Number 1, Fall, 1996
“VaR Measures for Structured Products”
Thomas S.Y. Ho and Michael Z.H. Chen, research paper, June 1996
“Total Return Approach to Performance Measurement”
Thomas S. Y. Ho, Alex Scheitlin and Kin Tam, in E. I. Altman and I. T. Vanderhoof, editors, The Financial Dynamics of the Insurance Industry, Burr Ridge, IL, Irwin, 1995.
“Convertible Bond Pricing Using a Two Factor Model”
Thomas S.Y. Ho, Frontiers in Fixed Income Management: The State of the Art in Credit risk, Derivatives Valuation and Portfolio Strategies, edited by Ho, Probus Publishing, 1995
“Quality-Based Investment Cycle: Toward Quality Assurance in the Investment Industry”
Thomas S.Y. Ho, The Journal of Portfolio Management, volume 22, Number 1, Fall 1995
“Evolution of Interest Rate Models: A Comparison”
Thomas S.Y. Ho, The Journal of Derivatives, Vol. 2 No. 4, Summer 1995.
“Identifying Value and Risks of Bonds/Portfolios: Primitive Profiles Approach”
Thomas S.Y. Ho, GAT Monthly Research, February 1994
“CMO Callability: Risk and Opportunity”
Thomas S.Y. Ho and J. Michael Kafes, GAT Monthly Research, January 1994
“Stripping Call Options from Callable Corporate Bonds”
Thomas S.Y. Ho, GAT Monthly Research, November 1993
“CMO Yield Attribution & Option Adjusted Spread”
Thomas S.Y. Ho, The Journal of Portfolio Management, Spring 1993.
“Primitive Securities: Portfolio Building Blocks”
Thomas S.Y. Ho, Journal of Derivatives, Winter 1993.
“Term Structure Estimation and Pricing of Callable Treasury Bonds”
Thomas S.Y. Ho, Sang-Bin Lee and Kyu-Hyun Son, Review of Quantitative Finance and Accounting, 1992.
“Total Return Strategies”
Thomas S.Y. Ho and Joseph J. Buff, Life Insurance, 1992
“Key Rate Duration: A Measure of Interest Rate Risks Exposure”
Thomas S.Y. Ho, The Journal of Fixed Income, Vol. 2 No. 2, September 1992
“Managing Illiquid Bonds and Linear Path Space”
Thomas S.Y. Ho, The Journal of Fixed Income, Vol. 2 No. 1, June 1992
“Interest Rate Risk and Duration”
Thomas S.Y. Ho in Investment Banking Handbook, edited by Robert Kuhn, Irwin Professional Publishing, Spring 1990.
“Bond Pricing Framework-Integrative Approach”
Thomas S.Y. Ho in Investment Banking Handbook, edited by Robert Kuhn, Irwin Professional Publishing, Spring 1990.
“Corporate Bond Pricing”
Thomas S.Y. Ho in Investment Banking Handbook, edited by Robert Kuhn, Irwin Professional Publishing, Spring 1990.
“Interest Rate Options and Interest Rate Futures Options”
Thomas S.Y. Ho and Sang-Bin Lee, Financial Review, 1990.
“Pricing of Corporate Bond Provisions: Empirical Evidence”
Thomas S.Y. Ho and Sang-Bin Lee, International Journal of Finance, 1990.
“Bond Options”
Thomas S.Y. Ho in Option: Theory and Practice, edited by Stephen Figlewski and Marti G. Subrahmanyam, Dow Jones Irwin, spring 1990.
“Order Arrival, Quote Befavior and Return Generating Process”
Thomas S.Y. Ho and Joel Hasbrouck, Journal of Finance, December 1988
“Informational Quality and Market Efficiency”
Thomas S.Y. Ho and Ron Michaely, Journal of Quantitative Analysis, December 1988
“Pricing of Corporate Bond Provisions: Empirical Evidence”
Thomas S.Y. Ho and Sang-Bin Lee, Advances in Finance, December 1987
“Equilibrium Term Structure Movements and Pricing of Corporate Bonds”
Thomas S.Y. Ho and Sang-Bin Lee, Journal of Finance, December 1986
“Term Structure Movements and Pricing Interest Rate Contingent Claims”
Thomas S.Y. Ho and Sang-Bin Lee, The Journal of Finance, Vol. XLI, No. 5, December 1986
“Bank Behavior, the Structure of the Federal Funds Market and the Effects of Monetary Policy”
Thomas S.Y. Ho and Anthony Saunders, Journal of Finance, June 1985
“The Impact of Market Design on Trading Behavior under Transaction Price Uncertainty”
Thomas S.Y. Ho and Robert Schwartz and David Whitcomb, Journal of Finance, March 1985
“Market Structure and Performance”
Thomas S.Y. Ho in Market Making and the Changing Structure of the Securities Industry, edited by Ho, Y. Amihud and R. Schwartz, 1984
“Sinking Fund Provisions and Relative Pricing of Corporate Bonds”
Thomas S.Y. Ho, in Recent Advances in Corporate Finance: Implications for Corporate Financial Management, edited by E. Altman and M. Aubrahmanyuam, 1984
“The Value of Corporate Debt with a Sinking Fund Provision”
Thomas S.Y. Ho and Ronald Singer, Journal of Business, July 1984
“Intertemporal Commodity Futures Hedging and the Production Decisions”
Thomas S.Y. Ho, Journal of Finance, June 1984
“Dealer bid-Ask Quotes and Transaction Prices: An Empirical Study of some AMEX Options”
Thomas S.Y. Ho and Richard Macris, Journal of Finance, March 1984
“Fixed Rate Loan Commitments, Takedown Risk and the dynamics of Hedging with Futures”
Thomas S.Y. Ho and Anthony Saunders, Journal of Financial and quantitative Analysis, December 1983
“The Dynamics of Dealer Markets under Competition”
Thomas S.Y. Ho and Hans Stoll, Journal of Finance, September 1983
“Bond Indenture Provisions and the Risk of corporate Debt”
Thomas S.Y. Ho and Ronald Singer, Journal of Financial Economics, December 1982
“Government Loan Guarantee for the Relief of Financial Distress”
Thomas S.Y. Ho and Ronald Singer, Crisis in the Economic and Financial Structure, edited by P. Wachtel, 1982
“Catastrophe Theory in Banking and Finance”
Thomas S.Y. Ho and Anthony Saunders, New Quantitative Techniques for Economic Analysis, edited by Szego, Academic Press, 1982
“Determinants of Bank Interest Margin: Theory and Empirical Evidence”
Thomas S.Y. Ho and Anthony Saunders, Journal of Financial and Quantitative Analysis, November 1981
“Optimal Dealer Pricing under Transactions and Return Uncertainty”
Thomas S.Y. Ho and Hans Stoll, Journal of Financial Economics, No. 9, 1981.
“Financial Theory and Corporate Policy” by Copeland and Weston (book review)
Thomas S.Y. Ho, Journal of Banking and Finance, June 1981
“A Catastrophe Model of Bank Failure”
Thomas S.Y. Ho and Anthony Saunders, Journal of Finance, December 1980
“On Dealer Markets under Competition”
Thomas S.Y. Ho and Hans Stoll, Journal of Finance, May 1980
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