couple the variables with the latent factor. We use adaptive rejection Metropolis sampling (ARMS) within Gibbs sampling for … posterior simulation: Gibbs sampling enables application to Bayesian problems, while ARMS is an adaptive strategy that replaces … of our proposed approach both in terms of sampling efficiency and accuracy. We provide an extensive application example …

risk. The key insight behind our importance sampling based approach is the sequential construction of marginal and …

In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the …