The Spectral Fenton Distribution: Exact Portfolio VaR via Eigenvalue-Conditioned Fourier Inversion
Unreviewed draft. This paper has not been human-reviewed.
Mathematical claims may be unverified. Use with appropriate caution.
Summary
We introduce the Spectral Fenton Distribution — a 130-parameter spectral
representation of the distribution of weighted sums of correlated lognormals
(the Fenton Distribution).
Length
4,225 words
Claims
3 theorems
Status
Draft
Target
Mathematical Finance / Quantitative Finance / SIAM Journal on Financial Mathematics