Journal of Risk

Risk.net

A Fourier approach to the computation of conditional value-at-risk and optimized certainty equivalents

Samuel Drapeau, Michael Kupper, Antonis Papapantoleon

ABSTRACT

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.

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