  The central idea of the paper is to present a general simple patchwork
construction principle for multivariate copulas that create unfavourable VaR
(i.e. Value at Risk) scenarios while maintaining given marginal distributions.
This is of particular interest for the construction of Internal Models in the
insurance industry under Solvency II in the European Union. The method is
exemplified with a 19-dimensional real-life data set of insurance losses.
