Simon Fritzsch

University of Leipzig - Faculty of Economics and Management Science

Leipzig, 04109

Germany

SCHOLARLY PAPERS

3

DOWNLOADS

1,051

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Characteristic Portfolios, Conditional Quantile Curves, and the Cross-Section of Option Returns

Number of pages: 51 Posted: 11 Jun 2021 Last Revised: 15 Nov 2021
University of Leipzig - Faculty of Economics and Management Science, Durham University and University of Leipzig - Faculty of Economics and Management Science
Downloads 793 (59,433)

Abstract:

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Option returns, implied volatility, machine learning, realized volatility, Volatility Risk Premium, volatility mispricing.

2.

Estimating the Relation between Digitalization and the Market Value of Insurers

Journal of Risk and Insurance, Forthcoming
Number of pages: 47 Posted: 26 Apr 2021 Last Revised: 11 May 2021
Simon Fritzsch, Philipp Scharner and Gregor N. F. Weiss
University of Leipzig - Faculty of Economics and Management Science, University of Leipzig - Faculty of Economics and Management Science and University of Leipzig - Faculty of Economics and Management Science
Downloads 142 (377,504)
Citation 1

Abstract:

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Digitalization, Latent Dirichlet Allocation, Machine Learning, Market Valuation

3.

Marginals Versus Copulas: Which Account For More Model Risk In Multivariate Risk Forecasting?

Number of pages: 54 Posted: 24 Sep 2021
Simon Fritzsch, Maike Timphus and Gregor N. F. Weiss
University of Leipzig - Faculty of Economics and Management Science, University of Leipzig - Faculty of Economics and Management Science and University of Leipzig - Faculty of Economics and Management Science
Downloads 116 (440,651)

Abstract:

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OR in Banking, Risk Analysis, Finance, Copula, Model Risk