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Goldman?s Head Quant Derman to Retire (Risk Magazine, 22 May 2002)

22 May – Emanuel Derman, head of Goldman Sachs’ quantitative risk strategies group in firmwide risk, will retire from the firm in June.

Goldman Sachs’ chief financial officer David Viniar and chief administrative officer Barry Zubrow said in an internal memo that Derman was leaving to spend time writing and pursuing his interests in research. But it is rumoured he may take on a role in academia.

Derman joined Goldman in 1985 in its financial strategies group, where he worked with Fischer Black and Bill Toy on the research that led to the 1990 Black-Derman-Toy yield-curve model. He then headed the modelling group that developed the GS-One object-oriented modelling library.

He spent about a year running the adjustable rate mortgage research group at Salomon Brothers in the late 80s before returning to Goldman Sachs in 1990 as head of its equities division?s quantitative strategies group.

He then spent a decade developing models and trading software for Goldman?s equity derivatives division. He was noted for his ability to bridge the gap between academic financial modelling and practical application.

Derman moved to firmwide risk in early 2000 as head of its derivatives analysis group, where he ran Goldman?s quantitative risk strategies group in 2001. Viniar and Zubrow said Derman played a key role in developing a stronger quantitative team that focused on the pricing of exotic products and development of proprietary risk models.

Derman started his career as a theoretical physicist, and gained a PhD from Columbia University. He moved to AT&T Bell Laboratories in 1980, where he developed high-level computer languages for financial modelling, before moving to Goldman.

Christopher Jeffery

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