Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: On a Transform Method for the Efficient Computation of Conditional VaR
  (and VaR) with Application to Loss Models with Jumps and Stochastic
  Volatility   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.

37
The categories of this paper are: supr-con
31
The categories of this paper are: ao-sci
29
The categories of this paper are: funct-an
15
The categories of this paper are: nucl-ex
30
The categories of this paper are: q-alg
22
The categories of this paper are: chao-dyn
8
The categories of this paper are: hep-ex
33
The categories of this paper are: plasm-ph
12
The categories of this paper are: nucl-th
24
The categories of this paper are: dg-ga
35
The categories of this paper are: mtrl-th
0
The categories of this paper are: hep-ph
25
The categories of this paper are: patt-sol
6
The categories of this paper are: astro-ph
16
The categories of this paper are: stat
5
The categories of this paper are: gr-qc