portvine
Vine Based (Un)Conditional Portfolio Risk Measure Estimation
Following Sommer (2022) <https://mediatum.ub.tum.de/1658240> portfolio level risk estimates (e.g. Value at Risk, Expected Shortfall) are estimated by modeling each asset univariately by an ARMA-GARCH model and then their cross dependence via a Vine Copula model in a rolling window fashion. One can even condition on variables/time series at certain quantile levels to stress test the risk measure estimates.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.0.3 |
rolling linux/jammy R-4.5 | portvine_1.0.3.tar.gz |
1.8 MiB |
1.0.3 |
rolling linux/noble R-4.5 | portvine_1.0.3.tar.gz |
1.9 MiB |
1.0.3 |
rolling source/ R- | portvine_1.0.3.tar.gz |
533.2 KiB |
1.0.3 |
latest linux/jammy R-4.5 | portvine_1.0.3.tar.gz |
1.8 MiB |
1.0.3 |
latest linux/noble R-4.5 | portvine_1.0.3.tar.gz |
1.9 MiB |
1.0.3 |
latest source/ R- | portvine_1.0.3.tar.gz |
533.2 KiB |
1.0.3 |
2026-04-26 source/ R- | portvine_1.0.3.tar.gz |
533.2 KiB |
1.0.3 |
2026-04-23 source/ R- | portvine_1.0.3.tar.gz |
533.2 KiB |
1.0.3 |
2026-04-09 windows/windows R-4.5 | portvine_1.0.3.zip |
2.1 MiB |
1.0.3 |
2025-04-20 source/ R- | portvine_1.0.3.tar.gz |
533.2 KiB |