Risk Economics sponsored the IAFE/SunGard 2012 Financial Engineer of the Year (FEOY) Award Gala Dinner honoring Dr. Robert (Bob) Litzenberger. Bob Litzenberger is Professor Emeritus of Investment Banking at The Wharton School of the University of Pennsylvania, and a Fellow of the American Finance Association. Bob Litzenberger currently serves as a consultant and Board Member of RGM Advisors, a high speed electronic trading firm.
After receiving his PhD from UNC, Chapel Hill, Bob Litzenberger started his academic career at Carnegie-Mellon University. The following year, he joined the faculty of the Graduate School of Business at Stanford University where he eventually became C.O.G. Miller Distinguished Professor of Finance. At Stanford, he was very active teaching and advising PhD students. In 1986, Bob Litzenberger joined the faculty of The Wharton School at the University of Pennsylvania as the Edward Hopkinson Professor of Investment Banking. While on leave from Wharton, Bob Litzenberger served as Director of Research and Chief Economist at AIG-Financial Products and served on its Board of Directors. Upon returning to Wharton, he established a course in financial engineering.
Bob Litzenberger joined Goldman Sachs in 1995 as Director of Derivative Research and Quantitative Modeling in the Fixed Income Division. In 1998 he became Firm-wide Risk Manager and was actively involved in Goldman Sach’s assessment of Long Term Capital’s portfolio. Bob Litzenberger became a Partner in 1999 and retired from an active role in late 2001.
From 2002 to 2007 he served as an Executive Director of Azimuth Trust, a fund-of-funds for hedge funds. While at Azimuth he developed an analytical risk and allocation system that accounted for the fat tails associated with financial crises.
Bob Litzenberger was named Risk Manager of the Year by Risk Magazine in 2001 and inducted into their Risk Hall of Fame in 2003. He is a former President of both the American Finance Association and Western Finance Association. He has been on the editorial boards of the Journal of Financial Economics, the Journal of Finance and the Journal of Financial Quantitative Analysis. Bob Litzenberger has co-authored a doctoral level textbook on financial economics and published more than 50 articles in the leading academic finance journals, many of which were co-authored with former students.
The award was presented to Bob Litzenberger on February 7, 2013, at the recently opened National Museum of Mathematics (MoMath) in New York City, during the annual IAFE/SunGard FEOY Award Gala Dinner. The IAFE/SunGard FEOY Award, established in 1993, recognizes individual contributions to the advancement of financial engineering technology. Nominations are submitted by a nominating committee of approximately 100 people, consisting of all the IAFE governing boards. They are then reviewed in a two step process by a selection committee of 25 members, including the IAFE board of directors and senior fellows. The 2012 year’s selection committee was chaired by Dr. Peter Carr, an IAFE senior fellow and the 2010 FEOY award winner.