Managing Partners

Name : Mark

Title : Co-Founder

 

 

Mark co-founded Global Advanced Technology (GAT) with Thomas Ho in 1988.   He was responsible for implementing state-of-the-art financial models invented by Thomas Ho, including the first commercial implementation of the Ho-Lee model in a desktop computer, Key-Rate Durations, and the Linear Path Space, which is a variance reduction technique for monte carlo simulation of interest rate paths.  In 2006, Mark founded his own firm, KeenZone Consulting, and worked with banks to model and reverse-engineer CDOs, CLOs, and CBOs.

Name : Vernon

Title : Co-Founder

 

 

Vernon’s investment career started in 1985 at Denney and Denney where he helped launched the firm’s quantitative approach to investing in fixed income securities.  After gaining an MBA at New York University, Vernon worked at Citicorp Sales and Trading in New York where he was co-authored research on the mortgage-backed and asset-backed market.  He left Citicorp in 1992 and joined GAT.  There he developed various quantitative tools, including the firm’s prepayment model for agency and whole-loan CMOs.  He co-authored a paper “RFC Whole Loan Prepayment Behavior” which was published in “The Handbook of Mortgage-Backed Securities”, edited by Frank Fabozzi.

While at GAT, Mark and Vernon worked together extensively in modeling US mortgages and structured products, and helped develop and apply Precision, a cashflow model for CMOs.  In addition, the two were frequently hired for consulting projects to build systems to manage CMO and mortgage-related risk in portfolios of complex derivatives.

For the last 10 years, Vernon has worked with Western Asset Management and led the Quantitative Analytics Group.  During that time he helped launch the San Gabriel Hedge Fund and led many initiatives that enhanced the firm’s quantitative capabilities and opened up new avenues for profitability.  He also published a paper “Constructing Peer Benchmarks for Mutual Funds” in the Journal of Portfolio Management with Lev Dynkin, Arik Ben Dor, and Kenneth Leech.  Vernon has spent the last 3 years living in Brazil working with Brazilian structured finance and speaks fluent Portuguese.