We investigate correlations of asset returns in stress scenarios where a common risk factor is truncated. Our analysis is performed in the class of normal variance mixture (NVM) models, which encompasses many distributions commonly used in nancial modelling. For the special cases of jointly...

In this paper, we develop a new numerical method to estimate a multivariate probit model. To this end, we derive a new decomposition of normal multivariate integrals that has two appealing properties. First, the decomposition may be written as the sum of normal multivariate integrals, in which...