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Rand Kwong Yew Low

Rand Kwong Yew Low
BlackRock

Doctor of Philosophy

About

24
Publications
6,581
Reads
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531
Citations
Introduction
* Uniquely qualified in Finance (PhD), Engineering (BEng, CPEng), & Computer Science (BCs). * I specialize in (1) Market risk - Extreme Value theory, dependence modelling, copulas (2) Portfolio optimization - Mean-variance, Tail-risk, Full-scale optimization (3) Credit risk - Probability of default, Transition matrices, Credit rating classification. * Rapid prototyping of portfolio optimization strategies and back-testing risk models in Matlab, Python and R.
Additional affiliations
June 2016 - present
Bank of America Merrill Lynch
Position
  • Vice President
Description
  • Validating and building challenger statistical and econometrics models for economic capital and regulatory capital (As per Basel III, OCC, Federal Reserve requirements)
August 2015 - present
New York University
Position
  • Australia Award - Endeavour Research Fellow
Description
  • - I am working with Prof. Andrew Patton & Prof. Anthony Lynch at NYU - Stern on dynamic portfolio optimization with mixture copulas. - Contributing on correlation modelling with copulas to V-lab at the Volatility Institute.
August 2013 - present
The University of Queensland
Position
  • UQ Postdoctoral Research Fellow
Description
  • - Recipient of a 3-year grant of $300,000 entitled "Portfolio optimization and risk management for financial crises".
Education
August 2009 - August 2013
The University of Queensland
Field of study
  • Finance
January 2009 - June 2009
University of New England (Australia)
Field of study
  • Project Management
January 2001 - December 2005
University of Melbourne
Field of study
  • Computer Science

Publications

Publications (24)
Article
We examine the use of elliptical and asymmetric copula models to forecast returns for portfolios of 3 to 12 assets for an investor who has no short-sales constraints and a utility function characterized by the minimization of Conditional Value-at-Risk (CVaR). We examine the efficient frontiers produced by each model and focus on comparing two metho...
Article
We examine and compare the performance of three different pairs trading strategies (the distance cointegration, and copula methods) on the US equity market from 1962 to 2014 using a time-varying series of trading costs. Using various performance measures, we conclude that cointegration strategy performs as well as the distance method. However, the...
Article
Why do mean-variance (MV) models perform so poorly? In searching for an answer to this question, we estimate expected returns by sampling from a multivariate probability model that explicitly incorporates distributional asymmetries. Specifically, our empirical analysis shows that an application of copulas using marginal models that incorporate dyna...
Article
Asymmetric dependence in equities markets have been shown to have detrimental effects on portfolio diversification as assets within the portfolio exhibit greater correlations during market downturns compared to market upturns. By applying the Clayton canonical vine copula (CVC) to model asymmetric dependence, we produce a measure of systemic risk a...
Article
Our study lies at the intersection of the literature on the diversification benefits of commodity futures and the literature on style integration. It augments the traditional asset mix of investors with a long-short portfolio that integrates the styles that matter to the pricing of commodity futures. Treating the style-integrated portfolio of commo...
Article
The commodity pricing literature advocates the design of long-short portfolios based on equal weights. Relaxing the assumption of naive diversification, this article studies the benefits of applying sophisticated weighting schemes to the construction of long-short momentum and term structure portfolios. Weighting schemes based on risk minimization...
Article
Regulators need a method that is versatile, is easy to use and can handle complex path models with latent (not directly observable) variables. In a first application of partial least squares structural equation modeling (PLS-SEM) in financial stress testing, we demonstrate how PLS-SEM can be used to explain the transmission of systemic risk. We mod...
Article
We evaluate the extent to which sell-side equity analysts can facilitate market efficiency when there is increasing uncertainty about a stock’s future value. The prevalence of the 52-week-high momentum anomaly, which can be largely attributed to information uncertainty, provides a setting for examining the value and timing of analysts’ earnings for...
Article
Full-text available
Shadow banking (SB) makes a significant contribution to financing the real economy and is intricately connected with the regulated banking sector (RBS). This article illustrates how transmission of systemic risk from SB to RBS can be modelled in order to enable regulators better manage contagion. After an extensive literature review of articles fro...
Article
We perform an extensive and robust study of the performance of three different pairs trading strategies - the distance, cointegration, and copula methods - on the entire US equity market from 1962 to 2014 with time-varying trading costs. For the cointegration and copula methods, we design a computationally efficient 2-step pairs trading strategy. I...

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