Jan Roman Email & Phone Number

Västerås, Vastmanland County, Sweden

Consulting at Handelsbanken Capital Markets, Stockholm

I educate on C and D level in applied mathematics. I give two courses: Analytical Finance I and Analytical Finance II For more information see http://janroman.dhis.org

Managing the risk at the Investor Risk Group.

Sweden

The main part in Quant Risk Modelling I work with model validation. This includes to validate all the input to the Front-Office systems, including Interest Rates, Volatilities structures etc. The next step is to validate all the calculations in the FO-systems like bootstrapping, interpolation, fair values and sensitivities (Greeks etc.). This includes all values to the Back-Office. Then, I validate the flow from the FO-systems to the Risk system. Finally I validate the calculations in the Risk… Show more The main part in Quant Risk Modelling I work with model validation. This includes to validate all the input to the Front-Office systems, including Interest Rates, Volatilities structures etc. The next step is to validate all the calculations in the FO-systems like bootstrapping, interpolation, fair values and sensitivities (Greeks etc.). This includes all values to the Back-Office. Then, I validate the flow from the FO-systems to the Risk system. Finally I validate the calculations in the Risk system. This includes stress testing and Value-at-Risk.This is a very interesting job, where I have to know all flows and models in the bank. This also includes OIS-discounting, CVA, DVA, FVA. Show less

Financial Engineer (Markets Risk Control)

Worked as a Financial Engineer with Quant related problems.

I'm Head of two groups, Market Risk and Credit Risk at Middle Office.The trading is made in Stockholm, Oslo, Shanghai and New York.

Consultant (via Aston Carter International) at Handelsanken Capital Market. I mostly worked with their internal models for different risks. Especially Counter party (Credit) risk, Liquidity risk Settlement risk etc. The models are built the one of their trading systems Sungard Front Arena where many models are built in the Python language.

I work with supervisions of pension funds and insurance companies.

Senior developer in Fixed Income. Functional and System support. General development for Interest Rate Derivatives, especially an Option Adjusted Spread model for EuroHypo. Front office systems

Senior developer in Risk Analysis and Position Management – Trade Management in OMX’s front office system, OneWorld

As a developer at NasdaqOMX I worked as a developer in RIVA (RIsk VAluation). The system that calculate the Margin Requirement to clearing houses. I also write their pricing server and their simulation server where banks etc. can simulate the margin requirement.

Senior developer Risk Analysis in OMX’s system for Margin Requirement Calculations, RIVA. RIVA is a part of OMX’s Clearing system SECUR which is used by the Stockholm Derivative Exchange and many other clearing houses, like Korea Future Exchange, Sidney Future Exchange and Hong Kong Future Exchange

It Front Capital System (Sungard) I developed models for Fix Income instrument. Especial I developed an OAS model (Option Adjusted Spread) for Euro-Hypo. This is a model to calculate values for Callable and Putable Bonds and other structures.

Senior developer, System- Operating System Specialist. I worked as technical administrator in some large international projects (US) with development and delivery of physical models in steel making. Responsible for physical models

Responsible for Customer Services for Matlab/Simulink and toolboxes. Teacher in Matlab

Research Engineer in Semi Conductor research (Power Devices). Developer in Field calculations (FEM).

Ph.D. student, Research Assistance and teacher in mathematics and physics at M.Sc. level. Did research in chaos, complexity and fractals – multi-fractals. The last year and a half I spent at NORDITA in Copenhagen, Denmark.

Lic. Eng, Theoretical Physics

Activities and Societies: Chairman of the student organization of graduate students. Member of the board of institute of theoretical.

Education record

Education record

Education record