Summary
Overview
Work History
Education
Skills
Websites
Certification
Languages
Timeline
Generic

Thomas Zellerer

Summary

Dynamic financial services professional with over 20 years of expertise in derivative valuations and risk
management. Proven track record in evaluating complex derivative instruments and implementing robust
risk systems across major banks, insurance firms, energy companies, and leading financial risk management
software vendors. Notable collaborations include TD Bank, Manulife Financial, Commerzbank, and
Deutsche Bank. Academic credentials include Bachelor's degrees in Mathematics and Economics from
Simon Fraser University and a Master's in Quantitative Finance from the University of London.

Overview

24
24
years of professional experience
4
4
Certification
9
9
years of post-secondary education

Work History

Managing Director, Risk Management Specialist

Quant Edge Solutions GmbH
10.2010 - Current
  • Responsible for managing a team of several consultants (both internal and contractors) as well as business development (project acquisition)
  • Further responsibilities of the role include managing the business unit Derivative Valuations and Risk Management Consulting and providing assistance to clients in handling current quantitative issues in Risk Management, Financial Engineering, and Asset Management
  • During my time at Quant Edge Solutions, I have been involved in consulting projects at major German financial institutions, energy companies and clearing houses including Deutsche Bank AG (Credit Risk IT and Asset Management), UniCredit, Eurex Clearing (Deutsche Börse group), E.ON Ruhrgas, RWE Renewables, Nord/LB, Helaba, DekaBank, and TeamBank
  • In particular, my project-related work has involved providing consulting services in varied roles including Lead Business Analyst, Quantitative Analyst, Financial Engineer and Risk Controller
  • Many projects were related to regulatory requirements such as Basel III, MaRisk, FRTB, AIFMD, BCBS 239, Stress testing, backtesting VaR models and other regulatory requirements
  • Projects also involved planning and executing the migration from one Risk System to another
  • Another major focus has been on vetting valuation and risk models and the implementation of code (primarily Python) to address regulatory issues including ISDA SIMM for calculating Initial Margin requirements and performing valuations for illiquid derivative instruments including CLOs and other structured products using advanced quantitative models
  • A detailed overview of projects completed is available upon request and can also be gleaned from the project section of my LinkedIn profile.

Lecturer (Lehrbeauftragter)

Frankfurt University of Applied Sciences
04.2019 - Current
  • Lecturer for an advanced 4th year course in Risk Management
  • In this role, I have been responsible for producing the learning materials (PowerPoint Slides, Python code examples, Excel-based examples, recorded learning videos)
  • The role has also involved four hours of on-site lecturing per week as well as grading a major term project and group presentation which form the requirements of the course
  • I have also been involved in restructuring the curriculum to better take into account recent trends in risk management and financial engineering including incorporating an additional section on advanced machine learning concepts such as Neural Networks (including backpropagation and gradient descent) and Kalman Filters along with their applications to risk management and the valuation of complex derivative instruments (e.g. Model Calibration)
  • During my time at the Frankfurt University of Applied Sciences, I have also supervised several Bachelor Theses relating to Cryptocurrencies and Machine Learning applications in Finance
  • This also involved agreeing a grade for the thesis as well as a 30 minute Kolloquium, in which the student must answer questions relating to the thesis, with a faculty member (second marker).

Consultant

HypoVereinsbank - UniCredit - Deutschland
08.2010 - 12.2010
  • Responsible for producing guideline documents for testing the implementation of various complex payoff types in Sophis
  • Payoff Types covered by the documents included TARNs, Outperformance Options, Everest Coupon, Range Accrual, Cliquet Options etc.
  • Approximately 1900 deals were checked in Sophis with a view towards ensuring that the implementation in Sophis accurately reflects what is indicated in the final terms and ensuring that an adequate valuation model was utilized
  • The focus of the current stage involves developing an automated process/algorithm for ensuring that all corporate actions are accurately captured in Sophis.

Senior Financial Engineer

ValuePrice AG
01.2010 - 08.2010
  • Model Vetting: Checking valuations produced by the firm's valuation engine (FIPCA) and providing valuation related consulting to the firm's clients using FincadXL
  • Instruments priced using FincadXL by asset class include: Interest Rate Derivatives: Interest Rate Swaps, Cancelable Interest Rate Swaps, Swaptions, Callable and Puttable Bonds (European & Bermudan Exercise), Binary Coupon Notes, Range Accrual, CMS Spread Notes (Steepeners), Callable Inverse CMS floaters
  • Credit: CDS (single-name and basket), Credit-Linked Note, Synthetic CDO
  • Equity: Equity Options (European & American exercise), Lookback (Floating), Equity Swaps, Asian, Outperformance options etc
  • Played a major role in the in-house implementation of the LIBOR Market Model using MatLab
  • The Model allows for the calibration of the key parameters (i.e. instantaneous forward rate volatilities and instantaneous correlations) using both cap and swaption volatilities
  • Market Conformity Checks: Involved in the Implementation of procedures for assessing the market conformity of IRS, CDS, and Swaption (European Exercise) trades for the firm's clients in accordance with BaFin (German Financial Regulatory Body) guidelines
  • Tolerance bands were set to reflect relative liquidity of instruments/markets.

Senior Specialist Portfolio Management

Commerzbank AG
03.2008 - 11.2009
  • Involved in the implementation of a model for determining the allocation with respect to sector, maturity and rating dimensions that maximizes the risk-adjusted return of the bank's credit portfolio
  • Played a major role in the development of a stress testing procedure for the bank‘s portfolio of loans to German and other European SME firms to meet Basel II stress testing requirements
  • The project required the development of an econometric model to project changes in loan default rates as a function of changes in key macroeconomic variables
  • Implemented a fully automated CDS reporting infrastructure to monitor the risk associated with the bank's portfolio of illiquid bilateral CDS deals
  • Responsible for writing investment papers for bilateral CDS hedges of concentration risks in the bank's credit portfolio
  • Responsible for calculating the optimal hedge ratio and formulating appropriate entry and exit strategies for the subsequently implemented macro-hedge of the bank's credit portfolio using CDS contracts on the 5-year iTraxx Europe (Main) index.

Assistant Manager, Financial Engineering

Manulife Investment Management
06.2006 - 02.2008
  • Developed pricing models for embedded derivatives
  • This entailed constructing complex spreadsheets that utilize FincadXL to allow for the extraction and valuation of embedded credit default swaps (CDS) from credit-linked notes
  • Developed a spreadsheet for pricing total return swaps using FincadXL
  • Responsible for vetting market curves and models utilized in Findur and addressing valuation related questions arising in the course of internal and external audits (i.e. Sarbanes Oxley)
  • Managed the in-house implementation of a Fincad Developer based application for assessing hedge effectiveness under FAS 133/IAS 39 hedge accounting regulations
  • Managed a project for the in-house implementation of a VaR model for the entire MFC Global Investment Management portfolio
  • Implemented Delta-normal/Delta-Gamma VaR, Monte Carlo VaR, Historical VaR
  • Fincad Developer was used to generate the expected cash flows associated with instruments in the portfolio which were then mapped to risk points using RiskMetrics Correlation and volatility data
  • Supervised the implementation of an expected shortfall model for the 130/30 long/short fund
  • A t-copula model was used in the implementation
  • Responsible for formulating appropriate policies for the implementation and monitoring of Findur market curves (e.g. Interest rate & FX curves) and other market data including volatility surfaces
  • Responsible for preparing various reports in an accurate and timely manner
  • These included the Derivative Control, Fixed Income Analytics, Duration, and FX VaR report
  • Developed a first-stage regression-based model for the determination of MBS FLUX (Flow Uncertainty Index) scores.

Financial Analyst

Reval
05.2005 - 06.2006
  • Responsible for assisting clients and prospects in using HedgeRX, an ASP system which allows clients to price complex derivatives and assess the effectiveness of Fair Value, Cash Flow and Net Investment Hedges
  • Provided detailed consultation to clients with a view to setting up hedges in the system
  • This involved checking whether hedges were set up correctly and also entailed analyzing for clients potential reasons for observed hedge ineffectiveness
  • Responsible for testing new functionality in the development and UAT environments as part of regular releases as well as maintenance releases
  • Responsible for ensuring the validity of Reval curves including ensuring that the resulting zero curves are arbitrage-free
  • Responsible for determining implied volatilities based on market data from Reuters and calculating convexity adjustments for interest rate futures used in the construction of interest rate curves
  • Played a major role in the in-house implementation of the LMM as part of a custom project for one of Reval's major clients
  • Responsible for the calibration of instantaneous forward rate volatilities and correlations
  • Performed demos of the application to clients and prospects both over the internet using Webex and in person during a user's conference held in New York
  • Developed user documentation for the calculation of Mark-to-Risk and other analytical methods used within HedgeRx to assess hedge effectiveness.

Product Specialist

FINCAD
05.2003 - 04.2005
  • Responsible for assisting prospects and clients in using Fincad's various analytical tools to value complex derivative products
  • This involved validating valuation results produced by FincadXL and investigating “bugs” identified by clients
  • Constructed advanced Excel spreadsheets for the valuation of many exotic financial products such as cancelable swaps, range-accrual etc. using Fincad functions as building blocks
  • Responsible for the on-going testing of new releases of FincadXL, Fincad Developer and the company's hedge accounting application “The Perfect Hedge”
  • Duties included producing documentation for the functions available in FincadXL and Fincad Developer
  • This also involved providing mathematical documentation for the valuation models utilized in FincadXL.

Financial Engineer

Value & Risk Valuation Services GmbH
08.2001 - 12.2002
  • Provided documentation for ValeRi, a risk management application jointly developed by Value & Risk AG and SAS Germany
  • This documentation provided a concise description of the theoretical framework surrounding the various risk management tools made available by ValeRi
  • Responsible for producing mapping documents for an interface between SAP SEM and the firm's valuation engine (FinLib)
  • Investigated accounting regulations (i.e. IAS 39 and FAS 133) relating to fair value, cash flow, and net foreign investment hedges
  • Researched and documented various analytical methods for assessing hedge effectiveness on both a prospective and retrospective basis.

Education

Doctor of Business Administration (DBA) Programme, Quantitative Finance -

Edinburgh Business School, Heriot-Watt University
Edinburgh, UK
01.2020 - Current

Certificate of Advanced Studies - Data Science & AI

Goethe Business School, University of Frankfurt
Frankfurt, Germany
05.2025 - 03.2026

Certificate in Applied Financial Mathematics - Applied Financial Mathematics

RPTU University of Kaiserslautern-Landau
Kaiserslautern, Germany
10.2025 - 09.2026

Postgraduate Certificate, Data Science

Goldsmiths, University of London
London, UK
04.2020 - 11.2022

Global MBA - Postgraduate Certificate -

Queen Mary, University of London
London, UK
03.2020

Master of Science (M.Sc.), Quantitative Finance -

SOAS, University of London
London, UK
01.2016

B.A., Major Economics/Minor Business Administration -

Simon Fraser University
01.2003

B.Sc., Major Mathematics -

Simon Fraser University
01.1994

Skills

  • BCBS 239
  • Performance Measurement
  • GIPS
  • VBA Programming
  • SQL
  • Regulatory Requirements
  • Environmental, Social, and Governance (ESG)
  • Portfolio Management
  • Risk Management
  • Financial Engineering
  • Online Class Discussion
  • Lecture Development
  • Discussion Facilitation

Websites

Certification

  • Risk & AI Certification (RAI) - Global Association of Risk Professionals (GARP), 05/2025
  • International Certificate in Banking Risk and Regulation (ICBRR), Global Association of Risk Professionals (GARP), 01/2009
  • Canadian Securities Course (CSC), Canadian Securities Institute
  • Chartered Financial Analyst - Level 3 Candidate, CFA Institute
  • Certified Financial Risk Manager (FRM), Global Association of Risk Professionals (GARP), 11/2004
  • GARP CPD Completion- 2021/2022, Global Association of Risk Professionals (GARP), 12/2022
  • Postgraduate Certificate in Business Research Methods - Grade: Distinction, Edinburgh Business School, Heriot-Watt University

Languages

German
Bilingual or Proficient (C2)
English
Bilingual or Proficient (C2)

Timeline

Certificate in Applied Financial Mathematics - Applied Financial Mathematics

RPTU University of Kaiserslautern-Landau
10.2025 - 09.2026

Certificate of Advanced Studies - Data Science & AI

Goethe Business School, University of Frankfurt
05.2025 - 03.2026

Postgraduate Certificate, Data Science

Goldsmiths, University of London
04.2020 - 11.2022

Doctor of Business Administration (DBA) Programme, Quantitative Finance -

Edinburgh Business School, Heriot-Watt University
01.2020 - Current

Lecturer (Lehrbeauftragter)

Frankfurt University of Applied Sciences
04.2019 - Current

Managing Director, Risk Management Specialist

Quant Edge Solutions GmbH
10.2010 - Current

Consultant

HypoVereinsbank - UniCredit - Deutschland
08.2010 - 12.2010

Senior Financial Engineer

ValuePrice AG
01.2010 - 08.2010

Senior Specialist Portfolio Management

Commerzbank AG
03.2008 - 11.2009

Assistant Manager, Financial Engineering

Manulife Investment Management
06.2006 - 02.2008

Financial Analyst

Reval
05.2005 - 06.2006

Product Specialist

FINCAD
05.2003 - 04.2005

Financial Engineer

Value & Risk Valuation Services GmbH
08.2001 - 12.2002

Global MBA - Postgraduate Certificate -

Queen Mary, University of London

Master of Science (M.Sc.), Quantitative Finance -

SOAS, University of London

B.A., Major Economics/Minor Business Administration -

Simon Fraser University

B.Sc., Major Mathematics -

Simon Fraser University

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Thomas Zellerer