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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
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Updated Thu, 29 Aug 2013 16:03:18 +0000

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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 (https://www.mathworks.com/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