Hi everybody,I've read many papers about the market impact and I have not found a clear paper that explain how to measure it accurately.Can anyone help me plz?Thanks

Great work, Stephanone!Can you send me please your matlab code?My email address is monygel@yahoo.fr

Oinker, You can find it in the "Base Correlations Curve for CDO's" thread. It is called Base CorrelationJPM.zip and was sent by quantman.

Thanks LEE! That's what I need!

Hi, I am looking for the technical document of the JP Morgan's "base correlations" model. I've already read the qualitative paper and I found it very interesting! Thanks for your responses