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Ep. 298: Emanuel Derman Interview with Michael Covel on Trend Following Radio

Emanuel Derman
Emanuel Derman

My guest today is Emanuel Derman, a South African-born businessman and writer, best known as a quantitative analyst. Derman, who first came to the U.S. at age 21, in 1966, is currently a professor at Columbia University and Director of its program in financial engineering. Until recently he was also the Head of Risk and a partner at KKR Prisma Capital Partners, a fund of funds.

The topics are his books My Life As A Quant: Reflections on Physics and Finance and Models Behaving Badly.

In this episode of Trend Following Radio we discuss:

  • Why economics can be an ‘incestuous’ field
  • Economics as a moral science
  • Why all four of the US investment banks were not allowed to go by the wayside
  • Derman’s background and his PhD in theoretical physics
  • Derman’s early eye-opening experiences at Goldman Sachs
  • Model building, and how Derman was indoctrinated into the world of model building
  • The financial model and science and the physics model and science
  • Short volatility models vs. long volatility models
  • How one estimates risk
  • Models vs. theories
  • Whether Derman finds a certain amount of pushback from others in the academic community

Listen to this episode:

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