Before revision:  In particular, we study the interplay between the loss function and the dependence structure of the components , that provides valuable insights into the properties of good loss functions. Moreover, we provide numerical schemes to assess the risk allocation in high dimensions .
After revision:  In particular, we study the interplay between the loss function and the dependence structure of the components . Moreover, we address the computational aspects of risk allocation. Finally, we apply this methodology to the allocation of the default fund of a CCP on real data .