Hermann Locarek-Junge

Dresden University of Technology

Einsteinstrasse 3

Dresden, 01062

Germany

SCHOLARLY PAPERS

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199

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1

Scholarly Papers (1)

1.

The Estimation of Market Risk in Portfolios of Stocks and Stock Options

Schmalenbach Business Review, Special Issue, Vol. 54, No. 1-02, pp. 171-189, 2002
Number of pages: 25 Posted: 06 Jul 2006
Hermann Locarek-Junge, Ralf Prinzler and Mario Strassberger
Dresden University of Technology, KfW Banking Group and Zittau Goerlitz University of Applied Sciences
Downloads 199 (151,583)

Abstract:

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delta-gamma Approximation, Gaussian mixture density model, Hierarchical Mixtures of Experts, market risk, Mixture Density Networks, option portfolio, forecast, Value-at-Risk