L*PARC Lehrbass Predicitive Analytics and Risk Consulting

April 1, 0201

Homepage 2015

Filed under: Uncategorized — lehrbass @ 6:10 pm

Welcome to the homepage of Frank B. Lehrbass

 You can reach me via mail:    frank@lehrbass.de


My expertise is in the area of Banking, Financial and Corporate Risk Measurement and Management, Derivatives, Securities Pricing and Structured Finance.

Recent research work can be downloaded at http://ssrn.com/author=1635704



„Frank Lehrbass is highly enthusiastic to come up with superior intellectual analyses and to develop trading strategies on that basis. He convincingly combines strong analytical skills with a clear deal orientation and an engaging communication style“ (Market Leader Executive Search Germany, Management Audit Report, 2011)

  • Strategic risk management
  • Market risk modeling
  • Credit risk management
  • Liquidity risk modeling
  • Big Data Analysis


Work experience

Frank started his professional career in 1994 at WestLB as Financial Engineer for exotic derivatives and intraday trading systems, followed by an appointment as Head of Analytics & Systems in the central credit risk management in 1998. In 2001 he moved on to DG HYP (DZ BANK group) in Hamburg, initially as Head of Credit Risk Controlling, since 2002 equipped with credit competence as Head of “Credit Portfolio Management and Structured Investments” in Credit Treasury. In parallel, Frank built up the special servicer “Immofori GmbH” where he was Managing Director from 2004 to 2006. In 2007 he moved to IKB Credit Asset Management GmbH and was appointed as Managing Director in March 2007. He was involved in crisis management and the negotiations with Lone Star. In the years 2009 to 2015 he worked for RWE in various roles (2009-2010 in Risk Management, 2011-2015 in Front Office of RWE Supply & Trading). Since fall 2015 he teaches Business Administration especially Risk Management at the FOM University of Applied Sciences (biggest private university in Germany).


Recent Teaching

Option Pricing Theory and Econometrics. FOM University of Applied Sciences, Düsseldorf (MSc in Risk Management & Treasury)

Stress Testing, Operational and Concentration Risk. University of the Bundesbank, Hachenburg (BA in Central Banking)

Risk Management for Corporates. Rheinische Fachhochschule Cologne (University of Applied Sciences), Neuss (BSc in International Industry and Trade Management)



1995   PhD in Economics (Dr. rer. pol., Dortmund). Thesis: Optimal Hedging with Currency Derivatives for the Exporting Firm.

1992   M.A. in Economics (Diplom-Volkswirt, Mannheim – including one year at Johns Hopkins University, Baltimore, MD, U.S.A.). Thesis: Supply Side and Foreign Exchange Dynamics in Open Economies.


Recent Working Papers

A Short Note on Sovereign Commodity Risk Management (January 18, 2015). United States Association for Energy Economics (USAEE) Working Paper No. 14-198.

Corporate Production and Hedging Decisions under Dodd-Frank and EMIR (September 4, 2014). USAEE Working Paper No. 14-170.

Hedging the Counterparty Credit Risk of an Oil Company with Oil Futures Using Dynamic GARCH – A Derivative’s Approach to Right-Way Risk (June 12, 2014). USAEE Working Paper No. 14-164.

Coping with the Clearing Obligation – From the Perspective of an Industrial Corporate with a Focus on Commodity Markets. May 2013. SSRN Working Paper.


Invited Presentations

Global Association of Risk Professionals (GARP), „Coping with the Clearing Obligation: Liquidity Concerns“. Frankfurt, 2015.

5th INREC Conference. „A Short Note on Sovereign Commodity Risk Management“. Essen, 2015.

FOM Master Forum. „Optimal Decisions of the Exporting Firm Facing Exchange Rate Uncertainty“. Essen, 2015.

MathFinance Conference. „Coping with the Clearing Obligation“. Frankfurt, 2014.

Frankfurt School of Finance & Management, Research seminar (Doktorandenseminar). „Coping with the Clearing Obligation“. Frankfurt, 2013.

9th Energy & Finance and 4th INREC Conference. „Coping with the Clearing Obligation“. Essen, 2013.

Humboldt University and Technical University Berlin, Forschungsseminar „Stochastische Analysis und Stochastik der Finanzmarkte“. „Credit Risk at RWE Supply & Trading – An Overview“. Berlin, 2011.

Lehrstuhl für Betriebswirtschaftslehre insbes. Internationales Finanzmanagement. „Structured Credit Vehicle“. Konstanz, 2008.

Verband deutscher Hypothekenbanken. “On ABS and Credit Treasury”. Berlin, 2003.

British Bankers’ Association, Risk Management Series. “Portfoliomanagement in BU Central Credit Management”. London, 2000.

Sonderforschungsbereich 373 & Weierstraß Institut, Research Conference „Measuring Risk in Complex Stochastic Systems”. “A Simple Approach to Country Risk”. Berlin, 1999.

BaKred (BaFin) / (FSA) Financial Service Authorities & Bundesbank,. “Practical application of CreditRisk+ in WestLB”. London, Frankfurt, Berlin, 1998 / 1999.


Articles in refereed Journals

„Versicherungsmathematische Risikomessung für ein Kreditportfolio“ (with I. Boland, R. Thierbach), Blätter der Deutschen Gesellschaft für Versicherungsmathematik, 2001, 285-308.

„Rethinking risk-adjusted returns“, RISK April 1999, 35-40 (Credit Risk Special Report).

„Defaulters get intense”, RISK July 1997, 56-59 (Credit Risk Supplement).

„Kohonens selbstorganisierende Karten und der Terminkontrakt auf den DAX“ (with R. Volmer), WIRTSCHAFTSINFORMATIK, 39, 1997, 339-343.

„Risk Sharing Markets and International Trade – A Comment”, Jahrbücher für Nationalökonomie und Statistik, 213/2, 1994, 230-238.

„Optimal Hedging with Currency Forwards, Calls, and Calls on Forwards for the Competitive Exporting Firm Facing Exchange Rate Uncertainty”, Journal of Economics, 59, No. 1, 1994, 51-70.

„Eine Einführung in die arbitragefreie Bewertung von Derivaten in stetiger Zeit am Beispiel europäischer Devisenoptionen“, Kredit und Kapital 27/4, 1994, 591-627.


Invited Book Contributions / Edited Book

„Credit Risk+ in the Banking Industry” (edited with V. M. Gundlach). Berlin: Springer 2004 / Reprint 2015.

„Counterparty credit risk and clearing of derivatives contracts”, in: „Credit Portfolio Securitizations and Derivatives”. Chichester: Wiley & Sons 2013.

„Relevance of CDO Rating Downgrades on the Bank’s Share Price“ (with A. Deb, D. Schiereck,, in: „First International Conference on Credit Analysis and Risk Management“. Newcastle: Cambridge Scholars 2012.

„Immobilien Portfolio Management“ (with A. Engel, J. H. Walloch) in: Studienwerk des Studiengangs Real Estate Finance II. Frankfurt: Bankakademie/VDH 2005.

„Some Remarks on the Analysis of Asset Backed Securities” (with D. Kluge) in: „Credit Risk+ in the Banking Industry“. Berlin: Springer 2004.

„Default Probabilities in Structured Commodity Finance” (with D. Kluge) , in: „Credit Risk “. Heidelberg: Physica 2003.

„Kreditportfolio-Modelle in der Praxis“ (with F. Bröker) in: „Handbuch Bankcontrolling“. Wiesbaden: Gabler 2001.

„Kapitalmarktbasierte Portfolioanalyse von Länderrisiken – Ein struktureller No-Arbitrage Ansatz“ in: „Handbuch Risikomanagement“. Bad Soden: Uhlenbruch 2000.

„A Simple Approach to Country Risk“ in: „Measuring Risk in Complex Stochastic Systems“. Berlin: Springer 2000.

„Bewertung von Basket-Kreditderivaten und Collateralized Loan Obligations” in: „Handbuch Kreditderivate“. Stuttgart: Schäffer Poeschel 2000.



Other Publications

„NPL in Deutschland – Wachstumsmarkt oder Strohfeuer“ (with M. Bolder, K. Zimmer), Die Bank 2, 2005, 14-17.

„Beurteilung der Bonität beim Kauf von Immobiliendarlehensportfolien“ (with M. Bolder, H. Fehling), in: Verband deutscher Hypothekenbanken „Professionelles Immobilien-Banking“. Berlin: VDH 2004.

„Modellierung von Netto-Exposures im Hypothekenbankgeschäft“ (with M. Bolder, M. Lesko, S. Vorgrimler), Die Bank 6, 2002, 405-409.

„Denkanstösse zu Basel II und zum Kreditgeschäft“, ZfgK 3, 2002, 31-34.

„Risikomessung für ein Kreditportfolio – ein Methodenvergleich“, Die Bank 2, 1999, 130-134.

„Die modellmäßige Bewertung von Krediten mit Ausfallrisiko“, ZfgK 8, 1997, 15-20.

„The Valuation of REX-linked Bonds“, WestLB Bondletter 6 & 7, 1997, 2x 36-37.

„DAX-Future-Trading mit künstlichen Neuronalen Netzen“ (with M. J. Peter), ZfgK 4, 1996, 4-16.

„A Simple Approach to Valuing Risky Bonds“ WestLB Bondletter 6 & 7, 1996, 31-33 & 31-34.

„Die Bewertung und Absicherung von Partizipationsanleihen“, ZfgK 24, 1995, 11-13.

„Erfolgreiches neuronales Netz für DAX-Future-Trading“ (with M. J. Peter), Sparkasse 12, 1995, 586-588.


Keine Kommentare

No comments yet.

RSS feed for comments on this post.

Sorry, the comment form is closed at this time.

Powered by WordPress