MEUCCI Attilio, PhD

Research Associate, EDHEC-Risk Institute

Speciality : Finance

Contact

Email : research@edhec-risk.com

Main academic publications

Financial Analyst (2012); Risk (2008 ; 2009 ; 2010 ; 2011 ; 2012)

Documents to download

Pdf
CV - Attilio Meucci, PhD...
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EDHEC Publications

Entropy Pooling can be implemented nonparametrically or parametrically. The non-parametric implementation with historical scenarios is more suitable...
We overlay a whole distribution of liquidity uncertainty on future market risk scenarios and we allow the liquidity uncertainty to vary from one...