Publications of the Research Unit Pensions and Sustainable Financial Markets

The Value at Risk approach (VaR) is more and more used as a tool for risk measurement. The approach however has shortcomings both from a theoretical and a practical point of view. VaR can be classified within…

In this paper we apply statistical inference techniques to build neural network models which are ahle to explain the prices of call options written on the German stock index DAX. By testing for the explanatory…