{"title":"风险条件值和最优确定性等价物计算的傅立叶方法","authors":"Samuel Drapeau, M. Kupper, A. Papapantoleon","doi":"10.21314/JOR.2014.281","DOIUrl":null,"url":null,"abstract":"We consider the class of risk measures associated with optimized certainty equivalents. This class includes several popular examples, such as conditional value-at-risk (CVaR) and monotone mean–variance. Numerical schemes are developed for the computation of these risk measures using Fourier transform methods. This leads, in particular, to a very competitive method for the calculation of CVaR, which is comparable in computational time to the calculation of VaR. We also develop methods for the efficient computation of risk contributions.","PeriodicalId":46697,"journal":{"name":"Journal of Risk","volume":"1 1","pages":""},"PeriodicalIF":0.3000,"publicationDate":"2014-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"10","resultStr":"{\"title\":\"A Fourier Approach to the Computation of Conditional Value-at-Risk and Optimized Certainty Equivalents\",\"authors\":\"Samuel Drapeau, M. Kupper, A. Papapantoleon\",\"doi\":\"10.21314/JOR.2014.281\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We consider the class of risk measures associated with optimized certainty equivalents. This class includes several popular examples, such as conditional value-at-risk (CVaR) and monotone mean–variance. Numerical schemes are developed for the computation of these risk measures using Fourier transform methods. This leads, in particular, to a very competitive method for the calculation of CVaR, which is comparable in computational time to the calculation of VaR. We also develop methods for the efficient computation of risk contributions.\",\"PeriodicalId\":46697,\"journal\":{\"name\":\"Journal of Risk\",\"volume\":\"1 1\",\"pages\":\"\"},\"PeriodicalIF\":0.3000,\"publicationDate\":\"2014-08-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"10\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Risk\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.21314/JOR.2014.281\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Risk","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.21314/JOR.2014.281","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
A Fourier Approach to the Computation of Conditional Value-at-Risk and Optimized Certainty Equivalents
We consider the class of risk measures associated with optimized certainty equivalents. This class includes several popular examples, such as conditional value-at-risk (CVaR) and monotone mean–variance. Numerical schemes are developed for the computation of these risk measures using Fourier transform methods. This leads, in particular, to a very competitive method for the calculation of CVaR, which is comparable in computational time to the calculation of VaR. We also develop methods for the efficient computation of risk contributions.
期刊介绍：
This international peer-reviewed journal publishes a broad range of original research papers which aim to further develop understanding of financial risk management. As the only publication devoted exclusively to theoretical and empirical studies in financial risk management, The Journal of Risk promotes far-reaching research on the latest innovations in this field, with particular focus on the measurement, management and analysis of financial risk. The Journal of Risk is particularly interested in papers on the following topics: Risk management regulations and their implications, Risk capital allocation and risk budgeting, Efficient evaluation of risk measures under increasingly complex and realistic model assumptions, Impact of risk measurement on portfolio allocation, Theoretical development of alternative risk measures, Hedging (linear and non-linear) under alternative risk measures, Financial market model risk, Estimation of volatility and unanticipated jumps, Capital allocation.
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