  We consider the class of risk measures associated with optimized certainty
equivalents. This class includes several popular examples, such as CV@R and
monotone mean-variance. Numerical schemes are developed for the computation of
these risk measures using Fourier transform methods. This leads, in particular,
to a very competitive method for the calculation of CV@R which is comparable in
computational time to the calculation of V@R. We also develop methods for the
efficient computation of risk contributions.
