A Fully Integrated Liquidity and Market Risk Model

Versión 1.0.0.0 (394 KB) por Attilio Meucci
Conditional convolution algorithm to blend market risk and liquidity risk
2.5
(2)
1,9K Descargas
Actualizado 29 ago 2013

Ver licencia

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

Citar como

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. Recuperado .

Compatibilidad con la versión de MATLAB
Se creó con R2013a
Compatible con cualquier versión
Compatibilidad con las plataformas
Windows macOS Linux
Categorías
Más información sobre Risk Management Toolbox en Help Center y MATLAB Answers.

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Meucci - A Fully Integrated Liquidity and Market Risk Model/

Versión Publicado Notas de la versión
1.0.0.0