Philip Lo serves as a Senior Risk Analyst at the Federal Home Loan Bank of New York, where he leverages his extensive background in investment analysis to enhance the bank's risk management framework. With years of experience in bond markets, fixed income, and Mortgage-Backed Securities...
Philip Lo serves as a Senior Risk Analyst at the Federal Home Loan Bank of New York, where he leverages his extensive background in investment analysis to enhance the bank's risk management framework. With years of experience in bond markets, fixed income, and Mortgage-Backed Securities (MBS), Philip has developed a deep expertise in financial modeling and market risk analysis. His proficiency in methodologies such as duration, convexity, and historical Value at Risk (VaR) allows him to assess and mitigate potential risks associated with the bank's investment portfolio effectively.
Currently, Philip is spearheading key projects that involve updating and reviewing the interest rate BGM (LIBOR Market Model) and CEV (Constant Elasticity of Variance) volatility skew assumptions as the industry transitions from LIBOR to SOFR. Utilizing advanced programming skills in Python, particularly with libraries like Pandas and NumPy, he conducts thorough coefficients analysis to ensure the robustness of the bank's financial models. His technical acumen extends to C#, VBA, and SQL, enabling him to create sophisticated tools that streamline risk assessment processes.
Philip's specialties include the development of Discounted Cash Flow (DCF) models and the structuring of finance in Mortgage-Backed Securities, with a keen focus on prepayment risks. His ability to mentor peers and share insights on advanced risk analytics further solidifies his role as a valuable asset to the Federal Home Loan Bank of New York. As the financial landscape continues to evolve, Philip remains committed to enhancing the bank's strategic initiatives through innovative risk management practices and data-driven decision-making.
