An importance sampling approach for sampling copula models is introduced. We propose two algorithms that improve Monte Carlo estimators when the functional of interest depends mainly on the behaviour of the underlying random vector when at least one of the components is large. Such problems...

The standard intensity-based approach for modeling defaults is generalized by making the deterministic term structure of the survival probability stochastic via a common jump process. The survival copula of the vector of default times is derived and it is shown to be explicit and of the...

Numerical challenges inherent in algorithms for computing worst Value-at-Risk in homogeneous portfolios are identified and words of warning concerning their implementation are raised. Furthermore, both conceptual and computational improvements to the Rearrangement Algorithm for approximating...

A fundamental problem in risk management is the robust aggregation of different sources of risk in a situation where little or no data are available to infer information about their dependencies. A popular approach to solving this problem is to formulate an optimization problem under which one...