Carnegie Mellon University
April 04, 2024

Leif Andersen Named 2023 IAQF/Northfield Financial Engineer of the Year

Heidi Opdyke
  • Interim Director of Communications, MCS
  • 412-268-9982

The International Association for Quantitative Finance (IAQF) and Northfield Information Services have named Leif Andersen, the global co-head of the Quantitative Strategies & Data Group (QSDG) at Bank of America, and an adjunct professor at New York University’s Courant Institute for Mathematical Sciences and at Carnegie Mellon University’s Department of Mathematical Sciences, as the 2023 IAQF/Northfield Financial Engineer of the Year (FEOY). The award will be presented to Professor Andersen at a celebration in New York City in the spring of 2024.

“It is an exceptional honor for me to join the ranks of FEOY winners, an esteemed group of scholars and researchers who has long been a great source to me for inspiration and, in many cases, mentorship and collaboration,” Andersen said.

Northfield President Dan DiBartolomeo said that the choice of Leif Andersen as the 2023 Financial Engineer of the Year is extraordinarily appropriate.

“Contributing both as an academic and a practitioner, his work stands as foundational in multiple areas including derivatives, credit risk, and interest rates,” DiBartolomeo said. “Most importantly, Professor Andersen’s career brings the rigorous and practical perspective of an engineer, as distinct from a financial economist. Northfield is very proud to have the opportunity to sponsor this important recognition of his work.”

The annual IAQF/Northfield FEOY Award, established in 1993, recognizes individual contributions to the advancement of quantitative finance. A nominating committee of approximately 60 people consisting of all the IAQF governing boards submits nominations, which are reviewed in a two-step process by a selection committee of 25 members. The selection committee includes the IAQF board of directors and senior fellows and was chaired by Dilip Madan IAQF senior fellow and 2021 FEOY award winner.

Looking toward the future, Andersen said, “As we today stand at the cusp of a revolution in AI and Data Science applications to finance, there will be many problems and challenges — technical as well as ethical — to tackle over the coming years. Thankfully, the foundation of our field is rock solid, and I look forward to the continued stewardship and guidance by IAQF and its fellows.”

Originally from Denmark and educated as a robotics engineer at the Technical University of Denmark, Leif Andersen has worked for more than 30 years as a quantitative researcher in the global markets area.

Andersen holds MSc's in electrical and mechanical engineering from the Technical University of Denmark, an MBA from University of California at Berkeley, and a Ph.D. in Finance from Aarhus Business School. He has authored countless influential research papers and books in all areas of quantitative finance, including the popular three-volume monograph Interest Rate Modeling co-authored with Vladimir Piterbarg. Andersen also served as co-editor of the Risk Publications book Margin in Derivatives Trading (2018) alongside Michael Pykhtin of the Federal Reserve and is an associate editor of Journal of Computational Finance and Mathematical Finance.

A managing director and head of Bank of America’s quant team for nearly 22 years, Andersen has grown the team from a small group of mathematical modelers to hundreds of quants, strategists, data scientists and software engineers. Prior to joining BofA, he worked for nine years at General Re Financial Products, an innovative AAA-rated derivatives dealer based in NYC, where he collaborated with luminaries such as Jesper Andreasen, Rupert Brotherton-Ratcliffe, and Antoine Savine.

Before pivoting to finance, Andersen worked from 1989 to 1991 as an engineer at Robert Bosch GMBH (Stuttgart, Germany) where he specialized in flexible manufacturing systems using robotics and vision systems, often relying on machine learning methods.

Besides the 2023 Financial Engineer of the Year Award, Andersen was a recipient of Risk Magazine’s Quant of The Year Award in 2001 and 2018.