2018 Quants of the year: Leif Andersen, Michael Pykhtin and Alexander Sokol

With his colleagues, Michael Pykhtin and Alexander Sokol, our Industry Advisor, Leif Andersen, was named Quant of the Year for 2018.

Leif Andersen, the global co-head of the quantitative strategies group at Bank of America Merrill Lynch, along with Michael Pykhtin and Alexander Sokol, has significantly contributed to understanding settlement risk in trading. Their research challenges existing assumptions, revealing that exposure can be five to ten times higher. The trio developed a sophisticated model considering the mechanics of margining contracts, identifying sources of exposure related to time lags and human behavior during margin disputes. This work has sparked industry-wide discussions on addressing settlement risk, with potential solutions already being considered. They advocate for a more nuanced approach to calculating counterparty exposure, challenging the current standard of a fixed 10-day margin period of risk. The quants’ research has received recognition from industry experts and regulators, and they express a commitment to exploring topics with broad industry impact, including fintech and optimization of time and costs in trading activities.

To read more on Leif’s work and recognition, please click this link.