摘要翻译：
非线性工具的存在导致现实投资组合的价格变化分布出现非高斯特征，即使是正态分布的风险因素也是如此。对于基准的Delta Gamma正态模型尤其如此，它通常表现出指数阻尼幂律尾。我们展示了模型特征函数的知识如何导致两个标准风险度量的傅立叶表示，风险值和预期缺口，以及它们对模型参数的敏感性。我们详细介绍了公式的数值实现，并与蒙特卡罗模拟结果进行了比较，强调了结果的可靠性和有效性。
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英文标题：
《Accounting for risk of non linear portfolios: a novel Fourier approach》
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作者：
Giacomo Bormetti, Valentina Cazzola, Danilo Delpini, Giacomo Livan
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
  The presence of non linear instruments is responsible for the emergence of non Gaussian features in the price changes distribution of realistic portfolios, even for Normally distributed risk factors. This is especially true for the benchmark Delta Gamma Normal model, which in general exhibits exponentially damped power law tails. We show how the knowledge of the model characteristic function leads to Fourier representations for two standard risk measures, the Value at Risk and the Expected Shortfall, and for their sensitivities with respect to the model parameters. We detail the numerical implementation of our formulae and we emphasizes the reliability and efficiency of our results in comparison with Monte Carlo simulation.
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PDF链接：
https://arxiv.org/pdf/1002.4817