Law, Keith Ka-fai（羅家輝）
MFE (UC Berkeley); PhD (HKU)
Adjunct Associate ProfessorContact
Department of FinanceRoom 1201, 12/F
Cheng Yu Tung Building
12 Chak Cheung Street
Shatin, N.T., Hong Kong
+852 3943 7805
Dr. Keith Law is an Adjunct Associate Professor of the Department of Finance at The Chinese University of Hong Kong (CUHK) Business School. He is a specialist in quantitative and derivatives space and has extensive experience in portfolio analytics, derivative modelling and strategy designs.
With over 16 years of industry experience within the investment banking industry, Dr. Law held various key quant roles at Credit Suisse, JP Morgan, Morgan Stanley, and UBS where he headed the strategy efforts for both Global Synthetic Equity and Equity Derivatives in Asia.
From May 2013 to June 2020, Dr. Law was a partner of MCM Asia and later became CIO of public markets at MCM Investment partners in 2017, where he oversaw the asset management business and the overall quantitative investment process.
Dr. Law got a PhD in Statistics at the University of Hong Kong and a Master of Financial Engineering at UC Berkeley. He also holds the Financial Risk Manager (FRM) designation.
Mathematical Financial Modelling and Structured Solution
Quantitative Portfolio Analysis
Algorithmic trading strategies
Quantitative risk management
Derivatives pricing & strategy
- Publications & Working Papers
- Yiyun Li and K.F. Law (2021), “Systematic risk in pairs trading and dynamic parameterization,” Economics Letters, 202, 109842.
- K.F. Law, W.K. Li, and P.L.H. Yu (2020), “An alternative nonparametric tail risk measure,” Quantitative Finance, 685-696.
- K.F. Law, W.K. Li, and P.L.H. Yu (2020), “An empirical evaluation of large dynamic covariance models in portfolio value-at-risk estimation,” Journal of Risk Model Validation, 14(2), 21-39.
- K.F. Law, W.K. Li, and P.L.H. Yu (2020), “Evaluation methods for portfolio management,” Applied Stochastic Models in Business and Industry, 36(5), September/October 2020, 857-876.
- K.F. Law, W.K. Li, and P.L.H. Yu (2018), “A single-stage approach for cointegration-based pairs trading,” Finance Research Letters, 26(Sep), 177-184.