We describe a new algorithm for the computation of the score function and observed information in regular vine (R-vine) copula models. R-vine copulas are constructed hierarchically from bivariate copulas as building blocks only, and the algorithm exploits this hierarchical nature for subsequent...

Misperceptions about extreme dependencies between different financial assets have been an important element of the recent financial crisis, which is why regulating entities do now require financial institutions to account for different behavior under market stress. Such sudden switches in...