Keith Law is a Partner and the Head of Quantitative Research at MCM Partners. He has extensive experience in portfolio analytics, derivative modelling and strategy designs.
With over 15 years of experience within the investment banking industry, he started his career in the Valuation Risk Group at Credit Suisse in 2004 where he validated derivative pricing models and reviewed complex structured products. He later joined JP Morgan’s Quantitative Research group in 2005 to start the derivative modelling effort in Asia for Equity Derivatives trading. After a few years of experience in derivatives modelling, Keith made a switch to the Quantitative and Derivatives strategy role at Morgan Stanley in 2007 where he designed market-driven trading ideas to clients, managed pair trading analysis, monitored index change predictions and constructed quantitative dynamic strategies with systematic outperformances. In 2011, he joined UBS and headed the strategy efforts for both Global Synthetic Equity and Equity Derivatives in Asia.
Keith Law joined MCM Partners (formerly Mariana Capital Markets Asia) in 2013 as a partner with his expertise in quantitative modelling, pricing and strategy designs.
Keith Law studies the PhD program in Statistics at the University of Hong Kong. He holds a Master degree in Financial Engineering at the University of California at Berkeley. Keith also holds the Financial Risk Manager (FRM) designation.
This research develops a framework adopting conditional covariance modeling combined with various de-noising methods to estimate the portfolio VaR and proves the importance of DCC over the sample rolling method widely used in the industry.