Sebastian Schlenkrich
Managing Director at Humboldt University of Berlin
Contact Info
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Summary
👤
Senior🎓
Top SchoolSebastian Schlenkrich is a managing director and senior quant developer with over 15 years’ experience building valuation, exposure simulation and model governance solutions for banks and asset managers. He founded FRAME Consulting to deliver boutique quantitative risk management projects ranging from large transformation programmes to bespoke model validation and IPV work across platforms like Murex MX.3, Front Arena and Finastra Summit. His deep methodological expertise spans cross-asset hybrid models for XVA/CCR, implementation of models in QuantLib and the pragmatic application of machine learning to speed and improve risk calculations. He combines client delivery with academic engagement as a lecturer in interest rate modelling and financial mathematics at Humboldt-Universität zu Berlin. A mathematician by training (Dr. rer. nat., MSc Mathematical Finance, Oxford), he is unusual among consultants for hands-on contributions to open-source libraries and vendor-system validation. Colleagues value him for translating rigorous research into auditable, production-ready risk frameworks under regulatory regimes such as LIBOR transition and SR 11-7.
10 years of coding experience
13 years of employment as a software developer
Master of Science (MSc), Mathematical Finance, Master of Science (MSc), Mathematical Finance at University of OxfordDr. rer. nat., Mathematics, Dr. rer. nat., Mathematics at TU Dresden
German, English
Github Skills (18)
quantlib10
quantitative-finance10
c-library10
cpp10
expressions9
bison8
python-scripts8
testing7
abstract-syntax-tree7
peg7
julia7
parser7
parser-generator6
finance6
python6
Programming languages (6)
Github contributions (5)
frame-consulting/DiffFusion.jl
Jul 2023 - Jan 2025
High performance hybrid Monte Carlo simulation
Contributions:152 PRs, 108 pushes, 33 branches in 1 year 6 months
sschlenkrich/InterestRateModelling_examples
Apr 2022 - Nov 2022
Contributions:20 commits, 9 pushes, 2 branches in 6 months
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