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Risk measures computation by Fourier inversion
Ngoc Quynh Anh Nguyen
*
, Thi Ngoc Trang Nguyen
*
Corresponding author for this work
Accountancy & Finance, Accountancy
University of Economics Ho Chi Minh City
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peer-review
4
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Keyphrases
Fourier Inversion
100%
Risk Measures
100%
At-risk
66%
Characteristic Function
50%
Efficient Computation
50%
Risk Model
50%
Semi-variance
33%
Loss Distribution
33%
Expectile Risk Measures
33%
Fourier Transform Method
33%
Expected Shortfall
33%
Fourier Transform Techniques
16%
Design Methodology
16%
Real-world Application
16%
Model Validation
16%
Option Price
16%
Moment Generating Function
16%
Affine Model
16%
Cubic Spline
16%
Put Option
16%
Risk Metrics
16%
Semi-closed Form
16%
Portfolio Level
16%
Call Option
16%
Computational Effort
16%
Engineering
Characteristic Function
100%
Fourier Transform
100%
Risk Model
100%
Fourier Transform Method
66%
Shortfall
66%
Real World Application
33%
Risk Level
33%
Closed Form
33%
Cubic Spline
33%
Affine Model
33%
Computational Effort
33%
Metrics
33%
Computer Science
Value at Risk
100%
Characteristic Function
75%
Fourier Transform
75%
Efficient Computation
75%
Loss Distribution
50%
World Application
25%
Practical Implication
25%
Computational Effort
25%
Presented Approach
25%
Moment Generating Function
25%
Mathematics
Risk Measure
100%
Value at Risk
50%
Characteristic Function
37%
Risk Model
37%
Fourier Transform
37%
Loss Distribution
25%
Closed Form
12%
Standard Deviation
12%
Risk Level
12%
Call Option
12%
Option Price
12%
American Option
12%
Cubic Spline
12%
Moment Generating Function
12%
Computational Effort
12%
Economics, Econometrics and Finance
Option Trading
100%
Model Validation
50%
Measure of Dispersion
50%