A comment on Basel proposal for FRTB PnL backtesting and attribution

The old version of the PnL attribution test has rightfully been criticised for being overly punitive. Mainly because it could not handle well-hedged trading books, as the divisor in the test metric could be close to zero, exploding the scaled variance. In the latest revision of the rules, a more holistic approach has been devised.

2019-01-16 News

Merry Christmas and Happy New Year.

As reflection, rethink and planning takes the high-seat for a couple of weeks during the holiday season, we would also like to wish our friends, clients and partners the very best for the Holidays.

2018-12-20 News

Teknisk support / IT / Helpdesk sökes

Är du en lagspelare som vill jobba långsiktigt med teknisk support av komplexa IT-system? Vi söker dig med erfarenhet av support som vill utvecklas på ett marknadsledande teknikföretag med krävande kunder inom bank och finans.

2018-10-01 Career

Using Quantlab in Python!

As of today, Quantlab functions and classes can be run from Python. Function libraries such as the instrument pricing and curve fitting modules can be run as well as real-time access to Bloomberg and Reuters. Python will load Quantlab's instrument definition repository into memory in the same way as a native Quantlab session would.

2018-09-14 News

New AHS support number +46(0)84404419

Note the recent change in direct line for History Server related support issues. New number is +46 (0)8 440 4419 and will have a re-direct as fall-back etc.

2018-09-06 News

Nordic phase-in of new Initial Margin Rules is closing in.

Phase one and two of the new initial margin rules for non-cleared derivatives transactions has been finalised and the global players are live. Now that phase three, encompassing mainly regional banks, is knocking on the door, September 2018 is very close indeed. When also phase four and five targeting buy-side has go-live in 2019, the need for a cost efficient and local solution is obvious. Algorithmica's Risk Solution team is pleased to announce that release of the new SIMM margin rule engine will be out soon.

2018-05-29 News

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