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Risk Management and Valuation

Work Experience

Practical Experience (pre PhD):
02/90 – 08/94 University of Cologne / Germany, Research Assistant, Institute for Theoretical Physics

10/88 – 01/90 University Hospital Cologne / Germany, Community Service, Biometrics, Computer Simulation, Management of hospital data base, statistical evaluations

10/84 – 09/88 University of Cologne / Germany, Teaching Assistant at the
Institute for Theoretical Physics, Monte-Carlo-Simulation of growth processes und Phase transitions

07/83 – 09/86 Bayer AG, internships in Production and Process Control, Applications of Monte-Carlo-Simulation and Percolation theory


Professional Experience:
08/04-today d-fine GmbH, Frankfurt am Main / Germany,
Commodity and Corporate Risk (former Financial und Commodity Risk Consulting Group of Arthur Andersen)
Head (global responsibility) of the Business Unit Corporate Risk
- Set up and outline of the Business Unit Corporate Risk
- Head of energy and commodity research, organisation of co operations
- Representation of the Commodity/Energy-Expertise of d-fine at conferences as chairman or speaker and lecturer of mathematical finance (Commodities) at the Universities of Oxford and Heidelberg
- Acquisition of new Corporate Risk clients and projects
- Management of Projects in the field of risk methodology, valuation of derivates, modelling energy and commodity price processes, generation of forward curves, data validation, forecasting of commodity prices, hedging strategies, optimisation of supply contracts, audits of raw material supply contracts
- Establishment of university contacts and recruitment of human resources

06/01 – 07/04 Bayer AG, Global Operation Polyurethanes,
Product and Asset Management
- Post-Merger-Management and Contract-Management of the until 2000 biggest Bayer acquisition (~2.75 bill. EUR)
- Valuation and benchmarking of products, processes, plants and sites, investments, enterprises and contracts (incl. embedded options) for raw material and utilities
- Strategic Studies of polyether- propylene oxide- und styrene business,
- Development and Implementation of an integrated Cost- and Risk Management System for the propylene oxide - polyether production chain incl. co-products,
- Development of an IT-based Forecasting-Methodology for Commodity-Prices,
- Development and Implementation of an integrated Commodity-Market-Risk-Management incl. Market data analysis, Risk calculation, pricing of derivates, hedging strategies

05/00 – 05/01 Bayer AG, Global Operation Polyurethanes, Production
Production Manager, responsible for technical and economical optimisation of production process and maintenance

09/98 – 04/00 Bayer AG, Corporate Planning, internal Management Consultant
Project Manager for Value Management and Value Driver Analysis
(Target: Economic Value Added, persistent Cash-Flow enhancement)
- Optimisation of integrated Production Chains (Cross Business Units)
- Development and Implementation of a Value and Risk Management Approach for Research and Development and of Valuation- and Portfolio Management tools (international patent)

03/95 – 08/98 Bayer AG, Leverkusen, Research and Development
Project Manager for Process Simulation und Process Optimisation
- Modelling and Development of Simulation Systems for the Optimisation of product properties, reactions and processes
- Application of Neuronal Networks for Modelling and Optimisation of product quality and Production processes (awarded with the Otto-Bayer-Medal)

09/94 – 02/95 Deutsche Bank AG, Frankfurt, Global Risk Management Group
global responsibility for Credit Risk OTC - Derivates
- Analysis and Modelling of Risks of Derivates (FX, FI)
- Development of a Risk Methodology for Credit Risk

Education

04/94 PhD in theoretical Physics (German degree: Promotion / Dr. rer nat.),
Distinction: „very good“ (grade: A),
Thesis: „Magnetism of strongly correlated Fermion Systems“

04/90 – 04/94 Advanced studies of Physics at the University of Cologne / Germany

08/93 – 09/93 Research stay at Universidad Autónoma de Madrid / Spain

09/92 – 10/92 Research stay at ETH-Zürich / Switzerland

04/89 – 07/94 Founder and Manager of the Cologne Circle of the Studienstiftung d. d. V. for the interdisciplinary and cultural exchange of science

03/90 Research stay at Université de Caen / France

10/88 Master of Science in Physics (German degree: Physikdiplom / Dipl.-Phys.), Distinction: „very good“ (grade: A)
Thesis: „Ground-state properties of the antiferromagnetic Heisenberg model“

10/85 – 09/88 Graduate studies of Physics and Mathematics at the University of Cologne / Germany

05/86 – 03/90 Scholarship of the German National Academic Foundation
(Studienstiftung des Deutschen Volkes), award for intellectually outstanding students
(<1% of all students in scientific studies in Germany)

06/85 Pre-degree examination (German pre-degree: Vordiplom),
Distinction: „very good“ (grade: A)

10/83 – 09/85 Undergraduate studies of Physics, Mathematics and Chemistry at the University of Cologne / Germany

08/74 – 06/83 Highschool: Norbert-Gymnasium Knechtsteden / Kreis Neuss / Germany

Skills

Additional Education and other Skills:
Methods:
Time series analysis and modelling, Data Mining, System ordinary, stochastic and partial Differential equations and data driven Black-Box-Models, Neural Networks,
Monte-Carlo-Simulation, historical Simulation, Forecasting models, Optimisation
Technology:
Process technology for chemical processes, model based process optimisation
Economics: Cost calculation and contributional margin accounting (combined production),
Investment decision theory (DCF, Real Options), Portfolio theory
Pricing:
Options, Swaps, Cost+-Contracts based on natural gas, power, heating oil, naphtha and public indices, generation of forward curves
Value management:
Value driver analysis for production chains, Product portfolio Complexity analysis,
Project portfolio optimisation and management (R&D),
Value-Risk-Portfolio Management concerning Market- and Default (Credit ) Risk,
Marketing optimisation (Client - Segmentation) and Profitability Analysis
Risk-Management:
Market data validation, Measurement of Market- and Credit Risk,
Back testing and MC-Simulation, integrated Risk Management of process chains,
Hedging Strategies with Options, Forwards and Swaps,
Calculation of Hedge Effectivity and Accounting (US-GAAP / SFAS 133 / IAS 39), Risk analysis(Value at Risk) of R&D-Projects, Investments and Acquisitions
IT:
Programming: VBA, C, Fortran, Pascal, IDL, Mathematica, Reduce
Applications: MS-Office, Statistics and Neuro Software Tools

Languages

German: native speaker
English: fluently, practicing since 07/74
French: basic knowledge, practicing since 07/78
Italian: basic knowledge, practicing since 07/89
Latin: basic knowledge (Latinum), practicing since 07/76

Other

Awards and Honours
Scholarships: Award by the German National Academic Foundation (Studienstiftung des deutschen Volkes), award for intellectually outstanding students (~1% of students in Germany),

NUFFIC (Netherlands organization for international cooperation in higher education) research scholarship (1989)
Award: Otto-Bayer-Medal for cost reduction by process optimisation with data models incl. neural networks


div. Publicationen und Patents

Extracurricular Activities:
Hiking, Skiing, Music

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