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Join Dr. Thomas Ho at the next New York Society Meeting and enjoy in-person networking with your fellow quant finance professionals.

Event Abstract:

Dr. Ho will discuss Silicon Valley Bank's risk analysis using Thomas Ho Company proprietary data from Q4 2021 to Q4 2022. The results show that SVB performance continued to deteriorate from Q2 2022 till its collapse to 2023 Q1. The modeling analysis indicates that the run-on-the-bank was triggered by a long period of balance sheet management strategy.

Dr. Ho will also use a new approach, Performance-at-Risk (PaR), to analyze SVB risk exposure using Q4 2022 data. The approach uses the Local Vol interest rate model to incorporate market-implied volatility to determine the probability distribution as a risk measure. The model establishes the relationships of Net Interest Income, Option Adjusted Spread (OAS), and Market Risk. The model provides a holistic analysis of the balance sheet's risk and return tradeoff. Many applications are left for future research including a risk analysis of New York Community Bank (NYCB).

About the Speaker:

Dr. Thomas Ho is President of Thomas Ho Company Ltd (THC), a New York based financial engineering company. THC licenses portfolio and risk systems provides professional services in risk management, and facilitates capital market transactions. He is also a consultant to major financial institutions, including AIG from 1999-2005 and is a retained consultant to the enterprise risk management group. He joined BARRA when the firm merged with Global Advanced Technology (GAT) in June 1997. When Tom founded GAT in 1987, he developed cutting edge technology for delivering innovative solutions to 250 major global institutional clients. 

Dr. Ho joined New York University's Stern School of Business as Professor of Finance from 1978 until 1990. He received his Ph.D. in Mathematics in 1978 from the University of Pennsylvania.