This tome provides the reader with a background on simulating copulas and multivariate distribution in general. It unifies the scattered literature on the simulation of various families of copulas as well as on different construction principles

Abstract It is standard in quantitative risk management to model a random vector ${\mathbf {X}:=\lbrace X_{t_k}\rbrace _{k=1,\ldots ,d}}$ of consecutive log-returns to ultimately analyze the probability law of the accumulated return ${X_{t_1}+\cdots +X_{t_d}}$ . By the Markov regression...

Abstract We present a list of challenges one faces when given the task of modeling dependence between stochastic objects, with a special focus on financial applications. Our aim is to draw the readers' attention to common (and not so common) pitfalls and fallacies, and we particularly address...

We present a new portfolio default model based on a conditionally independent and identically distributed (CIID) structure of the default times. It combines an intensity-based ansatz in the spirit of Duffie and Gârleanu (2001). Risk and valuation of collateralized debt obligations. <italic>Financial...</italic>