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A Fully Integrated Liquidity and Market Risk Model

Version 1.0.0.0 (394 KB) by Attilio Meucci
Conditional convolution algorithm to blend market risk and liquidity risk
2.5
(2)

1.9K Downloads

Updated 29 Aug 2013

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To walk through the code and for a thorough description, refer to A. Meucci - A Fully Integrated Liquidity and Market Risk Model, Financial Analyst Journal, 68, 6, 35-47 (2012).
Latest version of article and code available at http://symmys.com/node/350

Cite As

Attilio Meucci (2023). A Fully Integrated Liquidity and Market Risk Model (/matlabcentral/fileexchange/43243-a-fully-integrated-liquidity-and-market-risk-model), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2013a
Compatible with any release
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Meucci - A Fully Integrated Liquidity and Market Risk Model/

Version Published Release Notes
1.0.0.0