Robert Litterman to Highlight Climate Risk at Quant Insights Conference

Asset allocation and risk management innovator to explore climate issues as a systemic risk at October event

Robert Litterman, co-developer of the Black-Litterman Global Asset Allocation Model, a key tool in investment management, will deliver an address on managing Climate Risk at the Quant Insights Conference in October.

“My complete focus for the past decade has been on highlighting the risk of climate change and the need to slam on the brakes – that is, to create appropriate incentives to reduce emissions.” Litterman told Wilmott.

“Quants can appreciate the urgency and importance of creating those incentives.  The risk is exploding, but it is not the risk of obvious impacts like floods and wildfires, which are growing very smoothly over time.  The risk that is exploding is that our actions today create a trajectory that crosses a tipping point down the road causing human well-being to fall off a cliff.”

Dr Litterman is a founding partner of Kepos Capital; a New York City based systematic global macro firm, and the Chairman of the Kepos Capital Risk Committee.

Prior to joining Kepos Capital in 2010, Dr Litterman enjoyed a 23-year career at Goldman Sachs & Co. He was named a partner of Goldman Sachs in 1994 and became head of the firm-wide risk function; prior to that role, he was co-head of the Fixed Income Research and Model Development Group with Fischer Black.

During his tenure at Goldman, Dr Litterman researched and published several ground-breaking papers in asset allocation and risk management.

Dr Litterman also chaired the CFTC Climate-Related Market Risk Subcommittee, which published its report, “Managing Climate Risk in the U.S. Financial System,” in September 2020.

Of the conference Litterman said “I’m always interested in presenting to quants. I’m a financial engineer, so we speak the same language and share a common appreciation for the wonders of finance and its importance.”

The Quant Insights Conference will be held on the 27th and 28th October and is organized by the CQF Institute, Fitch Learning, and Wilmott.

Tickets are now available and are free for CQF Institute Members.

Visit Quant Insights for more information.