In this chapter, we consider multivariate models for the joint distribution of several risk factors such as returns or log returns for different assets, zero rate changes for different maturity times, changes in implied volatility, and losses due to defaults on risky loans. Our aim is to specify a good model for the future value g(X) of a portfolio, where the function g is known and its argument X is a random vector of, for instance, log returns and zero rate changes over a given future time period. Since the function g is known, what remains is to make a good choice of probability distribution for random vector X.