A Fully Integrated Liquidity and Market Risk Model

Version 1.0.0.0 (394 KB) von Attilio Meucci
Conditional convolution algorithm to blend market risk and liquidity risk
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Aktualisiert 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

Zitieren als

Attilio Meucci (2024). A Fully Integrated Liquidity and Market Risk Model (https://www.mathworks.com/matlabcentral/fileexchange/43243-a-fully-integrated-liquidity-and-market-risk-model), MATLAB Central File Exchange. Abgerufen.

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Erstellt mit R2013a
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Meucci - A Fully Integrated Liquidity and Market Risk Model/

Version Veröffentlicht Versionshinweise
1.0.0.0