FELIX ROHATYN WAS ON HOLIDAY IN THE CARIBBEAN when he took the call from Lehman Brothers CEO Richard Fuld. It was early August 2006 and the 78-year-old Rohatyn, perhaps the most renowned investment banker of his generation, was contemplating his future after the two other bankers in his advisory boutique, Rohatyn Associates, had decamped for IPO-bound Evercore Partners. Retirement crossed his mind, as did joining Evercore or some other firm. Fuld sensed his opportunity and jumped on it. "Before you make a decision," the Lehman CEO asked, "can we have a conversation?" That they did. Over lunch on his return to New York, Rohatyn, who had spent nearly half a century at Lazard Frères & Co. before leaving to serve as president Bill Clinton's ambassador...