Dedicated to fostering the profession of quantitative finance

The IAQF is a not-for-profit, professional society dedicated to fostering the profession of quantitative finance by providing platforms to discuss cutting-edge and pivotal issues in the field.


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Latest News

March 1, 2022

Dr. Peter Carr’s Passing

It is with sadness that the IAQF has learned of Senior Fellow Dr. Peter Carr passing from a recent battle with an illness. Dr. Carr most recently served as Department Chair of the Department of Finance & Risk Engineering at NYU Tandon School of Engineering. He was previously the Executive Director of the Math Finance program at NYU's Courant Institute from 2010 to 2015. He was a Managing Director at Morgan Stanley with over 20 years of experience in the derivatives industry. He was also a finance professor for 8 years at Cornell University, after obtaining his PhD from UCLA in 1989. Dr. Carr is presently the Treasurer of the Bachelier Finance Society, and a trustee for the Museum of Mathematics in New York. He has over 90 publications in academic and industry-oriented journals and serves as an associate editor for 8 journals related to mathematical finance. He was selected as Quant of the Year by Risk Magazine in 2003 and shared in the ISA Medal for Science in 2008. In 2010, the International Association of Quantitative Finance and Sungard jointly selected Dr. Carr as its Financial Engineer of the Year. Dr. Carr was selected in Institutional Investor’s prestigious annual Tech 50 from 2011 to 2014. 

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IAQF Senior Fellow Spotlight

                                                                   


Robert Litterman

Robert Litterman is a founding partner of Kepos Capital; a New York City based systematic global macro firm, and the Chairman of the Kepos Capital Risk Committee. Prior to joining Kepos Capital in 2010, Dr. Litterman enjoyed a 23-year career at Goldman Sachs & Co., where he served in research, risk management, investments and thought leadership roles. He oversaw the Quantitative Investment Strategies Group in the Asset Management division.

While at Goldman, Dr. Litterman also spent six years as one of three external advisors to Singapore's Government Investment Corporation (GIC). Dr. Litterman was named a partner of Goldman Sachs in 1994 and became head of the firm-wide risk function; prior to that role, he was co-head of the Fixed Income Research and Model Development Group with Fischer Black. During his tenure at Goldman, Dr. Litterman researched and published a number of ground breaking papers in asset allocation and risk management. He is the co-developer of the Black-Litterman Global Asset Allocation Model, a key tool in investment management, and has co-authored books including The Practice of Risk Management and Modern Investment Management: An Equilibrium Approach (Wiley & Co.).

Dr. Litterman earned a Ph.D. in Economics from the University of Minnesota and a B.S. in Human Biology from Stanford University. He was inducted into Risk Magazine's Risk Management Hall of Fame and named the 2013 Risk Manager of the Year by the Global Association of Risk Professionals. In 2012, he was the inaugural recipient of the S. Donald Sussman Fellowship at MIT's Sloan School of Management. In 2008, Mr. Litterman received the Nicholas Molodovsky Award from the CFA Institute Board as well as the International Association of Financial Engineers/SunGard Financial Engineer of the Year Award. Mr. Litterman serves on a number of boards, including Commonfund, where he was elected Chair in 2014, the Niskanen Center, Resources for the Future, Robert Wood Johnson Foundation, Ceres, World Wildlife Fund, the Sloan Foundation, the Woodwell Climate Research Center, and the Climate Leadership Council, where he serves as co-chair of the Board.  Dr. Litterman also chaired the CFTC Climate-Related Market Risk Subcommittee, which published its report, “Managing Climate Risk in the U.S. Financial System,” in September 2020. 

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