Nguyen, Ngoc Quynh Anh; Nguyen, Thi Ngoc Trang - In: The Journal of Risk Finance 18 (2017) 1, pp. 76-87
Purpose The purpose of this paper is to present the method for efficient computation of risk measures using Fourier transform technique. Another objective is to demonstrate that this technique enables an efficient computation of risk measures beyond value-at-risk and expected shortfall. Finally,...