Families of exact (0,2) supersymmetric conformal field theories of
magnetically and electrically charged extremal 4D black hole solutions of
heterotic string theory are presented. They are constructed using a (0,1)
supersymmetric SL(2,R)×SU(2) WZW model where anomalously embedded
U(1)×U(1) subgroups are gauged. Crucial cancelations of the U(1)
anomalies coming from the supersymmetric fermions, the current algebra fermions
and the gauging ensure that there is a consistency of these models at the
quantum level. Various 2D models, which may be considered as building blocks
for extremal 4D constructions, are presented. They generalise the class of 2D
models which might be obtained from gauging SL(2,R) and coincide with known
heterotic string backgrounds. The exact conformal field theory presented by
Giddings, Polchinski and Strominger describing the angular sector of the
extremal magnetically charged black hole is a special case of this
construction. An example where the radial and angular theories are mixed
non--trivially is studied in detail, resulting in an extremal dilatonic
Taub--NUT--like dyon.Comment: 42 pages (Plain TEX), IASSNS-HEP-94/20 (Revised version has minor
corrections, references and a note added and is now identical to published
version in Phys Rev D.