A new Fourier transform algorithm for value-at-risk
A new Fourier transform algorithm for value-at-risk
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DOI：
10.1088/1469-7688/4/3/008
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发表时间：
2004-06
影响因子：
1.3
通讯作者：
C. Albanese;K. Jackson;P. Wiberg
中科院分区：
文献类型：
--
作者：
C. Albanese;K. Jackson;P. Wiberg
In this paper, we introduce a new Fourier method for computing value-at-risk for a portfolio with derivatives and for return models with fat tails. The new method does not assume that the characteristic function for the return model is known explicitly. We define a class of admissible models for returns and present statistical evidence that supports our approach. We discuss the details of the algorithm. The paper concludes with two applications of value-at-risk. Both examples illustrate the effect that changes in the models for portfolio value and for risk factor returns have on the value-at-risk surface.
