Ralf Prinzler

KfW Banking Group

Palmengartenstrasse 5-9

60325 Frankfurt am Main

Germany

SCHOLARLY PAPERS

1

DOWNLOADS

199

SSRN CITATIONS

0

CROSSREF CITATIONS

0

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
Dresden University of Technology, KfW Banking Group and Zittau Goerlitz University of Applied Sciences
Downloads 199 (152,603)

Abstract:

Loading...

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