QUANTITATIVE FINANCE AND
MODEL ENGINEERING
- Model Prototyping & Integration
- Quantitative Risk Frameworks
- ESG & Climate Risk Analytics
- Exotic Derivatives Pricing
- Algorithmic Calibration
- Regulatory Validation
- Artificial Intelligence
We bridge the gap between academic theory and deployed systems. From technical specification to production integration, we engineer bespoke pricing models and risk architectures for banks, insurers, and energy firms.
Valuation
Development
Regulation
Derivatives Valuation
- Swaptions & Range Accruals
- Multi-Curve Construction
- Structured Products Pricing
Quantitative Development
- Python Prototyping
- C++/Java Integration
- Automated Calibration
Risk & Regulation
- Model Validation
- IRRBB & FRTB
- ESG Risk Modelling
References
Derivatives Valuation
Calibration and independent validation of interest rate, credit and FX derivatives (Hull-White, SABR, LMM, Black-76), including CDS pricing, structured products, inflation-linked instruments and FX options (vanilla, barriers, exotics).
Regulatory Frameworks
Incorporation and enhancement of ICAAP, ILAAP, IRRBB, CSRBB and LSI stress testing frameworks for major banks and fintech institutions, including quantitative modeling, supervisory reporting and regulatory remediation.
(Causal) Artificial Intelligence
Practical expertise in applying AI and machine learning (ML) solutions with proper implementation, structured oversight, and responsible operational governance.
ESG Integration
Incorporation of ESG and climate-related risk factors into risk models, linking sustainability metrics to probability of default and portfolio valuation adjustments.
Data Analytics & Governance
Design of BCBS 239–aligned data governance frameworks with end-to-end data lineage, ensuring consistency, traceability and auditability across risk architectures.
Meet Our Team
Thomas Zellerer
Managing Director &
Risk Management Specialist
With more than 25 years of experience in quantitative finance and risk management, I advise financial institutions on the design, validation, and implementation of advanced risk‑modelling frameworks. My work focuses on strengthening market and credit risk architectures, including Value‑at‑Risk (VaR), Expected Shortfall (ES), stress testing, IRRBB/CSRBB, and ESG‑integrated credit models.
I support banks, exchanges, energy firms, and fintechs in building robust, production‑ready quantitative solutions grounded in rigorous mathematics and implemented efficiently in Python. Experience includes internal model development and validation, historical‑simulation and Monte Carlo engines, macroeconomic stress modelling, and LSI stress‑test implementations aligned with supervisory expectations.
Current research interests (kept high-level while academic work is ongoing):
Project 1: Modern RFR interest‑rate analytics: examining behaviour of risk‑free rate term structures (SOFR‑OIS, ESTR‑OIS, SONIA‑OIS) across currencies and market regimes, with an emphasis on implications for valuation and contemporary multi‑curve pricing frameworks.
Project 2: Causal AI & event analysis in sovereign yields: using causal‑inference and event‑study approaches to assess how ESG‑relevant policy/news flow may influence government bond yields across maturities and over time.
Alongside consulting, I teach Quantitative Risk Analysis and Financial Engineering, ensuring that academic advances, practitioner insights, and AI‑driven modelling techniques remain closely integrated into practice and training.
Benedikt Grimus
Quantitative Analyst &
Developer
Benedikt holds a master degree in banking and finance with a major in capital markets and data science accompanied by the receipt of two academic honours. He leverages artificial intelligence to automate the complete lifecycle of quantitative finance, from engineering predictive trading algorithms, deploying low-latency execution infrastructure and accelerating the calibration of stochastic volatility models.
Timo Heil
Quantitative Researcher
Timo is in the final-year of his undergraduate studies in International Finance (BSc). He has received several academic honours and scholarships and has also completed academic studies in the US. His expertise includes time series modelling, valuation of fixed income products and quantitative portfolio optimisation. He has worked on the specification, calibration and validation of quantitative models as well as the design and deployment of data-driven web applications.
About
Contact Us
Let's talk about your next project - we'd be glad to hear from you.
We are available for remote and on-site engagements.