Law, Keith Ka-fai（羅家輝）

Biography

Prof. 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 covering portfolio analytics, derivative modelling, and strategy designs.

Prof. Law is currently the Head of Arcanum at Polymer Capital Management. With extensive industry experience, Prof. 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.

Prof. 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.

Teaching Areas

Mathematical Financial Modelling and Structured Solution
Algorithmic Trading
Quantitative Portfolio Analysis

Research Interests

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.