david sjöblom

I am responsible for the Risk Modelling team at Nasdaq Clearing. The team consists of experts in the areas of quantitative risk analysis and software development. Apart from the development of risk and valuation models, the team is responsible for the design and validation of the overall risk framework at Nasdaq Clearing and the development of various analytics tools.

As principal risk analyst I am specialized in risk management and business development within Nasdaq’s derivatives clearing business. One significant project that I have worked on includes setting up a new clearing platform for FX derivatives, where I primarily oversaw the development and implementation of the clearing solution as well as managed the regulatory approval process towards Swedish and European regulators. Other projects include designing and implementing liquidity and credit stress testing frameworks as well as implementing Basel capital requirement calculations. My role also involves regulatory work where I represent Nasdaq in both global and European industry associations, participating in discussions and consultations aiming at enhancing regulatory harmonization and global standards across the industry.

I was responsible for managing risks associated with the U.S. physical power and natural gas markets and aligning risk management practices with those of the Nasdaq OMX Group. This included establishing new routines and refined models for quantifying risks as well as implementing default handling strategies.

During this period I managed risks associated with clearing of Nordic equity and fixed income derivatives. Primary accomplishments included redesigning and implementing a new capital structure for the company’s European clearing business which included a risk-sharing scheme in form of a member contributed guarantee fund, as well as overseeing the implementation of models and risk management processes associated with clearing of OTC interest rate instruments.

As quantitative/financial analyst I was primarily responsible for developing models to quantify counterparty risk exposures, and for managing the day-to-day risk activities associated with clearing of Nordic fixed income and equity derivatives. Our team successfully managed the defaults of clearing members without incurring any loss to the clearing house. My role during these defaults involved preparing as well as overseeing the execution of the default handling strategies, which could include closing out defaulting counterparties' derivative portfolios as well as maintaining dialogue with banks and other affected parties.