Start by pouring the olive oil into a medium or large pan --- set it over medium-high heat.
Once the oil is ready, add the oxtail and brown on all sides.
Remove the oxtail from the pan and set aside.
Using the same pan and oil, add the chopped onion and saute until it softens.
Add the remaining vegetables: carrot, celery, and parsnip --- cook for about five minutes.
Pour four cups of cold water, then add the bay leaf, peppercorns, and thyme.
Place the oxtail back into the pot, cover it with a lid, and then bring it to a boil.
Lower the heat and let your German oxtail soup simmer for around two hours.
Once the meat is tender, remove it from the pan and separate it from the bone.
Dice the meat and add it back into the soup --- continue simmering.
Start making the roux by placing another medium saucepan over medium-low heat.
Melt the butter and add the onion.
Saute for about twelve minutes; make sure the heat is set to low at this point.
Stir in the flour and cook for ten minutes; mix it continuously until it turns darker.
Pour about a cup of the hot (simmering) soup and use a whisk to combine until you get a smooth texture.
Add the roux into the oxtail soup, constantly whisking to ensure no lumps.
Continue simmering for thirty minutes --- taste and season with paprika, salt, and ground pepper during this step.
Add the sherry, mix, taste, and adjust the seasoning as preferred.
Remove your German oxtail soup from the stove and transfer it into serving bowls --- enjoy!