Global Head of Market Modeling
Morgan Stanley
[PNR]

Failures of financial models took some blame for the crisis of 2008–’09 and brought the quantitative finance profession unaccustomed notoriety. But the science continues to advance, and quant finance’s leading lights, not least Morgan Stanley’s Peter Carr, aren’t shrinking from what he terms “a lot more scrutiny about models.” Carr says that “substandard trading technology and risk oversight” are to be avoided. One case in point: A technical breakdown in quant strategies cost AXA Rosenberg $242 million in February to settle Securities and Exchange Commission charges. That “may foreshadow new rules” for quant funds, the International Association of Financial Engineers has warned. Also in February, Carr, 52, accepted the IAFE/SunGard Financial Engineer of the Year award, an honor previously bestowed on hedge fund manager James Simons and economists Fischer Black and Robert Merton, among others. A University of California, Los Angeles, finance Ph.D. and executive director of the Masters in Math Finance program at New York University’s Courant Institute of Mathematical Sciences, Carr succeeded longtime Morgan Stanley market modeling head Joseph Langsam last year after seven years as Bloomberg’s head of quantitative research. One current bit of modeling complexity, he says, is counterparty credit risk, where “we have trades that go many ways.”