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David Pelleg
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  • Complex securities & derivatives
  • Digital assets
  • Financial modeling
  • Hedge funds & alternatives
  • PE/VC valuation
  • Structured credit & CLO

David Pelleg

David Pelleg is a senior financial markets expert witness with more than 30 years of experience in structured finance, digital assets, and alternative asset management. He has held senior leadership roles at major financial institutions, including Director of the UBS Currency Fund at UBS Warburg, Managing Director of the Structured Hedge Fund Derivatives Group at Zurich Capital Markets, and Chief Financial Officer of MBS/Net Inc. He has served as an expert witness through BlockDelta Consulting since 2018, retained by both plaintiffs and defendants in disputes involving Paycheck Protection Program lending, collateralized loan obligations, cryptocurrency exchanges, and private-equity and venture-capital valuation. His three-decade career spans senior trading, structuring, and executive roles across UBS Warburg, Zurich Capital Markets, Banc of America Securities, and Ivy Asset Management.

Industry Experience
Education
Areas of Expertise
Registrations and Memberships
Keywords

Industry Experience

BlockDelta Consulting, LLC
2018 - Present

Expert witness – structured finance, digital assets

Ambassador Crawford College of Business, Kent State University
2018 - Present

Associate Lecturer of Finance

Medsphere Systems Corporation
2016 - 2018

Finance Director, Business Development

MBS/Net Inc.
2007 - 2016

Chief Financial Officer

Weatherhead School of Management, CWRU
2012

Adjunct Professor

Ivy Asset Management
2004 - 2007

Head, Structured Solutions Group

Banc of America Securities
2003 - 2004

Principal, Structured Hedge Fund Products

Zurich Capital Markets
2001 - 2003

Managing Director, Structured Hedge Fund Derivatives

PlusFunds.com
2000 - 2001

Executive Director, Structured Products

UBS Warburg (originally SBC O’Connor)
1994 - 2000

Director, UBS Currency Fund

Boise Cascade
1991 - 1992

Financial Analyst

Security Pacific Merchant Bank
1989 - 1990

Financial Analyst, Corporate Finance & Credit

Education

Miami University (Ohio)
1985 - 1989

B.S. Finance and Business Economics, Magna Cum Laude

The University of Chicago – Booth School of Business
1992 - 1994

MBA, Analytic Finance and Statistics

Areas of Expertise

Valuation, damages, and financial modeling

Discounted cash flow and Black-Scholes option valuatio

SBA Paycheck Protection Program (PPP) loan-level data analysis

Private-equity and venture-capital financial modeling and damages

Hedge funds and alternative investments

hedge funds, funds of hedge funds, and managed accounts

hedge fund valuation, net asset value calculation, and fund administration

manager due diligence, manager selection, and portfolio risk monitoring

Structured finance, digital assets, and derivatives

Structured finance and collateralized loan obligations (CLOs)

Digital assets, cryptocurrency, and Bitcoin capital markets

Hedge fund-linked structured lending and principal-protected notes

Registrations and Memberships

Securities Expert Roundtable

Expert Keywords

  • adviser fees
  • alternative asset management
  • bitcoin (BTC)
  • Black-Scholes
  • Business Development Companies (BDCs)
  • Business valuation
  • CLO waterfall
  • collateral
  • collateral manager
  • Collateralized Fund Obligations (CFOs)
  • Collateralized Loan Obligations (CLO)
  • coverage tests
  • cryptocurrencies
  • currency options
  • damage analysis
  • delta
  • derivatives
  • digital assets
  • Discounted Cash Flow (DCF)
  • Equity waterfalls
  • Exchange-Traded Funds (ETFs)
  • Exchange-Traded Notes (ETNs)
  • exotics
  • Financial modeling
  • fund of hedge funds
  • fund-linked derivatives
  • FX options
  • global macro
  • hedge fund indices
  • hedge fund valuation
  • hedge funds
  • implied volatility
  • incentive fees
  • Lost profits
  • manager due diligence
  • manager selection
  • margin calls
  • Net Asset Value (NAV)
  • note ledger
  • option pricing
  • options
  • Paycheck Protection Program (PPP)
  • Paycheck Protection Program Liquidity Facility (PPPLF)
  • Payment-in-Kind (PIK)
  • portable alpha
  • price discovery
  • principal-protected notes
  • private credit
  • private equity
  • securitization
  • Small Business Administration (SBA) Lending
  • smoothing
  • stale pricing
  • structured credit
  • structured finance
  • structured lending
  • structured products
  • uncovered options
  • VC fund structure
  • venture capital
  • volatility

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