Turnbull quits Lehman for return to academia

Renowned quant Stuart Turnbull has left Lehman Brothers' fixed-income research group to return to academia. Turnbull has accepted the Bauer Professor of Finance chair, Bauer College of Business, at the University of Houston.

Turnbull has more than 25 years of professional and academic experience. At Lehman he was appointed as head of the bank's US quantitative credit research group, responsible for overseeing a team of analysts developing innovative credit models, and working with credit strategy and research teams on the development of quantitative applications for the cash credit markets. Prior to Lehman he developed credit and market risk management models at the Canadian Imperial Bank of Commerce (CIBC).

Before that he held the Bank of Montreal chair of banking and finance at Queens University of Canada. In 1995 Turnbull wrote the seminal paper, Pricing derivatives on financial securities subject to credit risk, with Cornell University’s Robert Jarrow. The article provided a new methodology for pricing and hedging derivatives securities involving credit risk.

At the University of Houston he will continue to research in the general areas of credit pricing, risk management, and financial economics.