Value-at-risk model performance during covid-19

We investigate three different Value-at-Risk models and their performance during the last year, including the Covid-19 turmoil.

2020-12-15 News

Heston library added to Quantlab

The Heston model has been around for a good 25+ years.  Why would we add a this model to our library now? In recent time there has been some ground breaking research into numerical stability when calibrating models such as the Heston. We have chosen to implement a number of those recent advances and are very pleased with the results.  

2020-12-11 News

Algorithmica becomes part of FCG Group

Financial software provider Algorithmica Research AB to join FCG Group – the Nordic Governance, Risk & Compliance leader.

2020-06-03 News

SEB selects IRRBB solution from Algorithmica

SEB has selected an IRRBB risk and planning solution from Algorithmica Research for its regulatory and internal IRRBB risk control needs. The IRRBB solution will be capable of delivering all standardised EBA stress tests pre-configured, with a range of modeling options for deeper internal analysis of economic value and earnings risk.

2020-03-27 News

Happy St Valentines day!

Wishing all our great clients, partners, and friends a warm and safe St Valentines day.

2020-02-14 News

Build RESTful API back-ends using Quantlab

Now it is possible to build RESTful back-end servers using Quantlab. This will enable the developer to create API:s directly from in-house built or Quantlab standard library functions. The server can be configured to run both TLS/SSL encrypted or non-encrypted connections.

2020-02-06 News

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