A Fully Integrated Liquidity and Market Risk Model
版本 1.0.0.0 (394.4 KB) 作者:
Attilio Meucci
Conditional convolution algorithm to blend market risk and liquidity risk
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
引用格式
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. 检索来源 .
MATLAB 版本兼容性
创建方式
R2013a
兼容任何版本
平台兼容性
Windows macOS Linux类别
在 Help Center 和 MATLAB Answers 中查找有关 Risk Management Toolbox 的更多信息
标签
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/
版本 | 已发布 | 发行说明 | |
---|---|---|---|
1.0.0.0 |