%0 Journal Article
%T New copulas based on general partitions-of-unity and their applications to risk management
%A Dietmar Pfeifer
%A Herv¨¦ Awoumlac Tsatedem
%A Andreas M£¿ndle
%A C£¿me Girschig
%J Quantitative Finance
%D 2015
%I arXiv
%X We construct new multivariate copulas on the basis of a generalized infinite partition-of-unity approach. This approach allows - in contrast to finite partition-of-unity copulas - for tail-dependence as well as for asymmetry. A possibility of fitting such copulas to real data from quantitative risk management is also pointed out.
%U http://arxiv.org/abs/1505.00288v2