Risk Management Heroes

From Open Risk Manual

Risk Management Heroes

This page includes a list of historical and current figures that have had a significant impact in the development of Risk Management as a discipline. Their work has typically been in the context of other fields (e.g., mathematics, economics of psychology).

NB 1: This is a subjective list aiming to provide useful pointers for reading / research. The Open Risk manual is not the Nobel Prize Foundation :-)

NB 2: The objective of the list is inspire and motivate risk managers. As such, academic rigor in attributing precedence and credit is of somewhat secondary importance. Additions / contributions are welcome via the feedback button or by registered authors.

NB 3: The work of early researchers is always performed in their respective historical context which may have changed significantly as norms and attitutes change.

Hero Period Contribution Counterpoint
Thales of Miletus First recorded use of option contracts to lock-in a payoff in specified future states of the world Not clear how influential this early example might have been for the development of derivatives markets much later in history
Luca Pacioli First person to publish a work on the Double Entry System of Book Keeping in Europe
Gerolamo_Cardano His book about games of chance, Liber de ludo aleae ("Book on Games of Chance") contains the first systematic treatment of probability Also the first documentation of effective cheating methods
Blaise Pascal Among the most important early contributors to the mathematical theory of probabilities
Edmond Halley Credited with the first calculation of a mortality table, thereby laying the ground for the life insurance and pension industries
James Dodson Mathematician who's mortality risk work played a key role in the establishment of the "Society for Equitable Assurances on Lives and Survivorships", the first modern life insurance
Daniel Bernoulli Significant early contributions to the theory of risk aversion, risk premia and utility theory
William Morgan Considered the first modern actuarial scientist
Thomas Bayes Bayes first provided an equation that allows new evidence to update beliefs
Gauss Major contributions to statistics and probability methods relevant for risk management The tractability of Gaussian methods has facilitated application also in domain where they are not applicable
Laplace Main architect of the Bayesian view of probability
Andrey Markov Seminal work on stochastic processes underpinning most practical (tractable) applications in quantitative risk management See Gauss counterpoint
Florence Nightingale A pioneer in the graphical representation of statistics. She illustrated seasonal sources of patient mortality in military field hospitals, establishing modern nursing
Frank Knight Economist who first carefully distinguished between economic risk (where probability distributions are known at the outset) and uncertainty
Ronald Fisher Statistician and Geneticist with fundamental contributions in methodologies for classification and Discriminant Analysis
Walter Shewhart Physicist and Statistician with fundamental contributions in methodologies for Statistical Process Control
Keynes Major contributions at the interface between probability and economics
Jan Tinbergen Considered to be one of the persons that founded the econometrics discipline
John von Neumann Among many other contributions, co-inventor of the Monte-Carlo method of simulation that finds wide applicability in risk management Simulation may hide significant weaknesses of the underlying probabilistic framework
Maurice Allais Physicist/Economist with significant work on establishing a theory of risk Impact was delayed by a lack of translations of his work from French
George E.P. Box Influencial statistician, who worked in the areas of quality control, time-series analysis, design of experiments, and Bayesian inference. He famously said: "All models are wrong but some are useful"
George Akerlof Economist who identified problems that afflict markets characterized by asymmetric information
Paul_Slovic Psychologist who contributed towards the psychometric paradigm of risk perception
Richard Thaler Economist, major contributor to the field of behavioral finance
Daniel Kahneman With Amos Tversky and others, Kahneman established a cognitive basis for common human errors that arise from heuristics and biases
Gerd Gigerenzer Psychologist who has studied the use of bounded rationality and heuristics in decision making
Robert J Shiller Economist with significant theoretical work on behavioral aspects of economic bubbles
Barry A. Turner Developed a methodology for systematically looking at the causes of a wide range of disasters, providing a theoretical basis for the origins of man-made disasters
Till Guldiman Credited with developing the Value-at-Risk concept at bank JPMorgan. Value-at-risk is an example of algorithmic quantification of portfolio market risk Excessive reliance on VaR widely criticised for a variety of risk management failures
Nicholas Taleb Coined the term "Black Swan", popularising the failure of formulaic approaches to risk quantification, including the Valua-at-Risk methodologies Black swans have been invoked to explain a host of unrelated risk management pathologies
Satoshi Nakamoto Pseudonymus inventor of the bitcoin protocol, first known application to establish a distributed ledger, a technology

that offers new possibilities for establishing data based ground truth || The technology has significant shortcomings at the technical level

Judea Pearl Computer scientist and philosopher, best known for championing the probabilistic approach to artificial intelligence and the development of Bayesian networks. He is also credited for developing a theory of causal and counterfactual inference based on structural models

See Also