Over the years, top journals have published a factor zoo containing hundreds of characteristics, only to see many of them losing empirical significance over time. In this paper, we perform an out-of-sample factor-zoo analysis on the rise and fall of characteristics in explaining cross-sectional...

We consider the problem of simulating tail loss probabilities and expected losses conditioned on exceeding a large threshold (expected shortfall) for credit portfolios. Our new idea, called the geometric shortcut, allows an efficient simulation for the case of independent obligors. It is even...