A Fourier Approach to the Computation of CV@R and Optimized Certainty Equivalents

Authors

Samuel Drapeau, Michael Kupper and Antonis Papapantoleon

Date

2014

Journal

Journal of Risk, 16(6):3-29

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 (CV@R) 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 CVa@R, which is comparable in computational time to the calculation of V@R. We also develop methods for the efficient computation of risk contributions.

Keywords

V@R, CV@R, Optimized Certainty Equivalent, Fourier Methods, Risk Contribution

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