Risk ’s quant of the year backs Buffett

Peter Carr, recipient of Risk 's 2003 quant of the year award, said that in a [hypothetical] argument between quants convinced of the infallibility of their models and derivatives sceptics such as Warren Buffett, he would probably side with Buffett.

Carr was speaking at the fourth annual Risk awards ceremony in New York yesterday, where several other speakers also alluded to Buffett’s characterisation of derivatives as “time bombs” earlier this month. Carr has conducted research on a wide variety of derivatives problems, including the hedging of path-dependent options. He is currently a visiting professor at New York University’s Courant Institute.

The awards event was part of Risk’s 15th anniversary dinner, which also featured the inaugural inductions to the Risk hall of fame. The inductees present at the event were Cristóbal Conde, Ron Dembo, Emanuel Derman, Mark Garman, Duncan Goldie-Morrison, Till Guldimann, Tom Jasper, Roger Lang, Jeffery Larsen, Robert Litterman, Robert Litzenberger, Azam Mistry, Joe Patrina and Don Wilson.

Deutsche Bank received an unprecedented four product awards, as well as Risk's house of the year award. The German bank won the interest rates derivatives house of the year, credit derivatives house of the year, energy and commodity derivatives house of the year and equity derivatives research house of the year awards.

More than 200 people attended the event, which also included a charity art auction. The painting featured on the cover of the January issue of Risk was auctioned for the benefit of the Risk Waters World Trade Centre Foundation. Bidding for Ocean Murmurs by James Howe opened at $500. The artwork eventually sold for $7,000.

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