Bank of America Quantitative Strategies Leader Is Named Financial Engineer of the Year

Leif Andersen, global co-head of the Quantitative Strategies & Data Group at Bank of America, has been selected by the International Association for Quantitative Finance (IAQF) as the IAQF/Northfield Financial Engineer of the Year (FEOY).

He is the latest in a line of honorees, dating back to 1993, who include AQR Capital Management co-founder Clifford Asness, the late Fischer Black, Stanford University’s Darrell Duffie, and Nobel laureates Robert Engle of New York University and Robert Merton of Massachusetts Institute of Technology.

Over nearly 22 years with BofA, Andersen built its quant team from a small group of mathematical modelers up to hundreds of quants, strats, data scientists and software engineers.

In addition to being a bank managing director, the native of Denmark is an adjunct professor at NYU’s Courant Institute for Mathematical Sciences, serving as a Mathematics in Finance industry adviser; and in Carnegie Mellon University’s MS in Computational Finance program. 

Leif Andersen

The award, for 2023, will be presented at an event in New York City on June 5. It is the culmination of a nominating process in which about 60 members of IAQF governing boards participated. Nominations were whittled down by a 25-member selection committee of association board members and senior fellows including past winners.

Dilip Madan of the University of Maryland, a senior fellow who was FEOY for 2021, chaired the selection committee. Paul Glasserman of Columbia University, who was the 2020 FEOY, led the committee that selected the 2022 FEOY, Helyette Geman of Johns Hopkins University and Birkbeck, University of London.

Derivatives, Credit and Rates

Dan diBartolomeo, president of award sponsor Northfield Information Services, called the choice of Leif Andersen “extraordinarily appropriate. Contributing both as an academic and a practitioner, his work stands as foundational in multiple areas including derivatives, credit risk and interest rates. Most importantly, Professor Andersen’s career brings the rigorous and practical perspective of an engineer, as distinct from a financial economist.”

In a statement with the award announcement in late January, Andersen remarked, “It is an exceptional honor for me to join the ranks of FEOY winners, an esteemed group of scholars and researchers who have long been a great source to me for inspiration and, in many cases, mentorship and collaboration.”

“As we today stand at the cusp of a revolution in AI and data science applications to finance, there will be many problems and challenges – technical as well as ethical – to tackle over the coming years,” Andersen added. “Thankfully, the foundation of our field is rock solid, and I look forward to the continued stewardship and guidance by IAQF and its fellows.”

Engineering and Robotics

Educated as a robotics engineer at the Technical University of Denmark, where he earned MSc degrees in Electrical and Mechanical Engineering, Andersen from 1989 to 1991 was an engineer at Robert Bosch GmbH, Stuttgart, Germany, where he specialized in flexible manufacturing systems using robotics and vision systems, often relying on machine learning methods.

Moving into finance, and before joining BofA, he spent nine years with New York-based derivatives dealer General Re Financial Products, where he collaborated with quant and trading luminaries such as Jesper Andreasen, Rupert Brotherton-Ratcliffe and Antoine Savine.

With an MBA from the University of California at Berkeley and a PhD in Finance from Aarhus Business School, Andersen has authored numerous research papers and books in quantitative finance, including the three-volume Interest Rate Modeling with Vladimir Piterbarg. Andersen also co-edited Margin in Derivatives Trading with Federal Reserve manager of quantitative risk Michael Pykhtin; is an associate editor of Journal of Computational Finance and Mathematical Finance; and was Risk Magazine Quant of the Year in 2001 and 2018.

On February 20, the IAQF announced Rachel Schutt as the recipient of its first Innovation Award, also for 2023, sponsored by Berkeley SkyDeck Fund. Dr. Schutt is managing director and co-head of BlackRock AI Labs. She was previously chief data scientist at News Corp. and a statistician in Google Research’s machine learning and statistics group, and is co-author of Doing Data Science with Cathy O’Neil.