New copulas based on general partitions-of-unity and their applications to risk management (part II). (arXiv:1709.07682v1 [q-fin.RM])

We present a constructive and self-contained approach to data driven infinite partition-of-unity copulas that were recently introduced in the literature. In particular, we consider negative binomial and Poisson copulas and present a solution to the problem of fitting such copulas to highly asymmetric data in arbitrary dimensions.