About me |
My name is Jan Röman and I was born in Olofström, Blekinge in December 1957. In 1977 I moved to Göteborg to study. I began to study physics at Chalmers University of Technology in 1979. After my Master degree in 1983, I got a position as a Ph.D. student at Institute for Theoretical Physics, at the group of the condensed matter theory. My goal was to get a Ph.D. in Chaos, Fractals and Nonlinear Systems. The last year as a graduate student I was a member of the Chaos group at NORDITA (Nordic Institute for Theoretical Atomic Physics) and the Neils Bohr Institute in Copenhagen, Denmark. I visited Denmark on an award by the Nordic Council of Ministers Beside my own research at Chalmers I also worked as a teacher. I educated student at the master programma in Linear Algebra, Mechanics, Quantum Mechanics, Statistical Physics ant Thermo Dynamics. Five years later I wrote a thesis for a licentiate degree in Theoretical Physics. In the fall of 1989 I got an offer by ABB Corporate Research in Västerås as a research engineer. I gave up my plans to become Ph.D. (at least for a while), with a plan to finish my last article later. At ABB I worked in two years with research in semi-conductor power devices and three years developing a program for advanced field calculations In 1994 I get an offer at COMSOL in Stockholm where I stayed for a year working with support and educations in MATLAB. In the late spring of 1995 I returned to ABB in Västerås, but now to ABB Industrial Systems working with computer control systems for steel manufacturing. Three years later, I felt to do something completely different. In the beginning of March, 1998 I got a position at OM in Stockholm. OM owns the Stockholm Stock and Derivative exchange. I have mostly been working on different systems for Risk Calculation when trading derivatives. Derivatives are financial instruments (contracts, for buying or selling the underlying, e.g., a stock, at a given price in the future) priced with help of mathematical methods. First I worked on a system called RIVA (RIsk VAluation) to calculate the margin requirement for the customers at a Clearinghouse. The Clearinghouse acts as counterparty of all the trades, and needs to know the margin requirement for all the customers. The customers have to deposit, at their custodian bank the amount (money, bonds, stocks and other securities) to be allowed to trade the next day. From February 2001 until July 2002 I worked on OM, with systems for brokers and traders. To better understand trading with derivatives, I have made some small programs to demonstrate the calculations. You find the links to these programs below. Between the summer 2002 until January 2005 I have been working for Front Capital Systems in World Trade Center, Stockholm with development of trading systems for banks and brokers. Between August 2005 and April 2007, I worked as a senoir risk analyst at Finansinspektionen FI, the Swedish Financial Supervisory Authority in Stockholm. After my time at FI I worked for my own company Pro Software on a contract at Svenska Handelsbanken, Capital Markets, where I developed a number of risk reports. In the middle of the financal crises I got a job as head of Market Risk and Counterparty Risk on Middle Office, Swedbank in Stockholm. One year later I got a new position as Financial Engineer at Group Risk. One of my main tasks was to validate all the pricing models in the bank. Therefore I did work in all Front-Office systems, like Murex Mx3 and MxG, Kondor+, Opus and Calypso. The risk system for VaR (Value-at-Risk) and stress testing was done using Algo RiskWatch, now owned by IBM. Since June 2015 I work for Swedbank Robur, Investor Risk. Here, we use Simcorp Dimension and for the risk calculus, RiskWatch Beside my work at Swedbank, I also teach two courses on Mälardalen University. The courses are Analytical Fanance I and Analytical Finance II at the master program Engineering Finance. |