A Fully Integrated Liquidity and Market Risk Model
Conditional convolution algorithm to blend market risk and liquidity risk
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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 (2026). A Fully Integrated Liquidity and Market Risk Model (https://uk.mathworks.com/matlabcentral/fileexchange/43243-a-fully-integrated-liquidity-and-market-risk-model), MATLAB Central File Exchange. Retrieved .
General Information
- Version 1.0.0.0 (394 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0.0 |
