Thomas Zellerer
Summary
More than 20 years of experience in derivative valuations and risk management... Dynamic Lecturer with 5 years of successful teaching experience. Known for interesting lectures with helpful supporting materials and detail-oriented classroom management. Dedicated to individual student success and comprehensive understanding.
Overview
22
22
years of professional experience
1
1
Certification
Work History
Lecturer (Lehrbeauftragter)
Frankfurt University of Applied Sciences
2019.04 - 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).
Managing Director, Risk Management Specialist
Quant Edge Solutions GmbH
2010.10 - 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.
Consultant
HypoVereinsbank - UniCredit - Deutschland
2010.08 - 2010.12
- 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
2010.01 - 2010.08
- 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
2008.03 - 2009.11
- 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
2006.06 - 2008.02
- 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
2005.05 - 2006.06
- 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
2003.05 - 2005.04
- 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
2001.08 - 2002.12
- 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, UK12.2024
Postgraduate Certificate, Data Science
Goldsmiths, University of London
London, UK09.2022
Global MBA - Postgraduate Certificate -
Queen Mary, University of London
London, UK03.2020
Master of Science (M.Sc.), Quantitative Finance -
SOAS, University of London
London, UK01.2016
Mathematics and Economics - Mathematics And Economics
FernUniversität in Hagen
Hagen, Germany01.2012
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
Certification
- 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, 39445
- GARP CPD Completion- 2021/2022, Global Association of Risk Professionals (GARP), 12/2022, 39445
- 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
Lecturer (Lehrbeauftragter)
Frankfurt University of Applied Sciences
2019.04 - Current
Managing Director, Risk Management Specialist
Quant Edge Solutions GmbH
2010.10 - Current
Consultant
HypoVereinsbank - UniCredit - Deutschland
2010.08 - 2010.12
Senior Financial Engineer
ValuePrice AG
2010.01 - 2010.08
Senior Specialist Portfolio Management
Commerzbank AG
2008.03 - 2009.11
Assistant Manager, Financial Engineering
Manulife Investment Management
2006.06 - 2008.02
Financial Analyst
Reval
2005.05 - 2006.06
Product Specialist
FINCAD
2003.05 - 2005.04
Financial Engineer
Value & Risk Valuation Services GmbH
2001.08 - 2002.12
Doctor of Business Administration (DBA) Programme, Quantitative Finance -
Edinburgh Business School, Heriot-Watt University
Postgraduate Certificate, Data Science
Goldsmiths, University of London
Global MBA - Postgraduate Certificate -
Queen Mary, University of London
Master of Science (M.Sc.), Quantitative Finance -
SOAS, University of London
Mathematics and Economics - Mathematics And Economics
FernUniversität in Hagen
B.A., Major Economics/Minor Business Administration -
Simon Fraser University
B.Sc., Major Mathematics -
Simon Fraser University
- 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, 39445
- GARP CPD Completion- 2021/2022, Global Association of Risk Professionals (GARP), 12/2022, 39445
- Postgraduate Certificate in Business Research Methods - Grade: Distinction, Edinburgh Business School, Heriot-Watt University
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