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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

9 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

Comments and Ratings (4)

ding wei

ding wei

gunth9

can you please update the code to include the liquidity score so i can reproduce the results in the paper.

MATLAB Release Compatibility
Created with R2013a
Compatible with any release
Platform Compatibility
Windows macOS Linux

Meucci - A Fully Integrated Liquidity and Market Risk Model/