Richard Libby is a manager in the Credit Policy Group of Bank of America, San Francisco, California. His responsibilities include system design and project management, audit compliance, and collaboration with the Risk Management Group to provide credit and market risk control systems for global trading activities.
A recent project pulled together a number of areas of mathematics, including integral equations, stochastic PDEs and numerical analysis, to model financial investment portfolio risk and return. He also implemented Monte Carlo techniques to calculate risks when historical data are not available or are a poor predictor of risk. For his work, he uses any area that has applications to financial mathematics, such as methods that apply to exotic option pricing, risk analysis, and dynamic modeling of interest rates and foreign exchange.
Richard has a B.A. and M.A. from the University of California, San Diego, and a Ph.D. from the University of California, Santa Cruz. Before joining the Credit Policy Group in 1993, he worked in with the Bank of America Investment Services and Bank of America Global Securities Services. Prior to that he was also a consultant research analyst with Bankers Trust of California in the Corporate Trust Group, and shortly after receiving his Ph.D. in 1990, he worked for six months as a deputy court clerk with the State Bar of California.
Asked why he entered finance, Richard says, “There were carrots and there were sticks. Carrots included Black and Scholes’s option pricing formula, which demonstrated the applicability of partial and stochastic differential equations in finance. With a background in Functional Analysis, I could see alternative ways of approaching the same kinds of questions. Finally, the growth of the financial derivatives and risk management industries indicated a more professionally rewarding opportunity than traditional academics. The one stick was my experience with academic politics: the same internecine disputes raged on, year after year, with little or no incentive for productive compromise.”
His advice to students: “Pure mathematics teaches the intellectual rigor needed for better applications. Keep your eyes on potential applications, but use your university time to learn mathematical techniques. The private sector will require compromise when it comes to mathematical ‘purity,’ but a solid mathematical background will help guide these kinds of decisions in the right direction.”
