On a transform method for the efficient computation of conditional V\@R (and V\@R) with application to loss models with jumps and stochastic volatility

DOI10.1007/S11009-015-9446-7MaRDI QIDQ292380zbMATH OpenOpenAlexFDO

Authors Alessandro Ramponi

Publication date 8 June 2016

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1407.1072

zbMATH Keywords

stochastic volatilityCV\@RFourier transform methodsjump-diffusion modelsV\@R

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Numerical methods for trigonometric approximation and interpolation (65T40)

Abstract: In this paper we consider Fourier transform techniques to efficiently compute the Value-at-Risk and the Conditional Value-at-Risk of an arbitrary loss random variable, characterized by having a computable generalized characteristic function. We exploit the property of these risk measures of being the solution of an elementary optimization problem of convex type in one dimension for which Fast and Fractional Fourier transform can be implemented. An application to univariate loss models driven by L'{e}vy or stochastic volatility risk factors dynamic is finally reported.

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Cites work

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Cited in

(6)

• Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach
• Computation of market risk measures with stochastic liquidity horizon
• Conditional VaR based on two-dimensional normal distribution
• A new Fourier transform algorithm for value-at-risk
• An analytical evaluation method of the operational risk using fast wavelet expansion techniques
• A generalized Fourier transform approach to risk measures

Describes a project that uses

Uses Software

• MATLAB expm

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