Pilot on fund liquidity reporting now live at Lannebo Fonder

As both AIF:s and UCIT:s funds now must report a liquidity ladder on a quarterly basis to the national competent authority, a number of problems needs to be addressed. What assumptions are needed to assess the number of days it takes to sell a position? How do you handle non-frequent traded products? Are you allowed to assume partial sale of assets during the number of days until the position is closed?

2019-03-01 News

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

Categories

Labels

Archive